Intraday Stock Screen Using Opening Auction Value and Price Amplitude

Summary

This intraday A-share screen selects non-ST stocks with price amplitude above 1, ranks candidates by the day’s opening auction amount, and keeps the top five before 10 a.m. It also cites a “five-step limit-up” condition, expressed as a sequence of rising upper-shadow values across recent sessions. The article provides formula-like conditions and a Python example, presenting the method as a short-term momentum and activity filter.

The article cautions that the screen does not assess company finances and that stocks with large short-term gains may leave buyers exposed to reversals. It recommends adding financial or valuation measures, but does not define those additions or provide backtest results, transaction costs, or evidence for the upper-shadow pattern. The examples should be treated as an outline of a screening concept: the referenced fields and ranking logic need reliable, timely data and validation before use, especially given the pre-10 a.m. timing requirement.

Key ideas

• The screen looks for non-ST stocks with amplitude above 1 and ranks them by opening auction amount.
• It limits selection to the top five candidates before 10 a.m.
• A rising sequence of upper-shadow values across recent sessions is included as a short-term pattern filter.
• The document provides no evidence of profitability and notes that financial quality and reversal risk are not addressed.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.