Morning Stock Screen Using Range, Limit-Up Pattern, and Auction Volume

Summary

This Chinese stock-screening post combines an intraday selection before 10 a.m. with several filters: a price range measure above 1, non-ST status, a five-session limit-up pattern, and a volume condition. The volume condition multiplies the prior day’s turnover rate by the ratio of current opening-auction volume to prior volume, retaining values between 0.5 and 2. The article presents this as a way to narrow candidates showing a specified level of market participation. It provides formula and Python-style examples for implementing the screen.

The post does not report a backtest, benchmark, or realized results, and it does not clearly define how to enter or exit positions after selection. It cautions that a historical turnover measure may not reflect current conditions and that auction-volume inputs or estimates may be inaccurate. The sample code also raises reproducibility questions: it uses the first row’s auction-size value and a rolling five-session close maximum as a proxy for the named limit-up pattern. The article recommends improving data quality and incorporating additional information and risk controls.

Key ideas

• The screen selects non-ST stocks before 10 a.m. using a range threshold and a five-session limit-up condition.
• It filters for a prior turnover rate adjusted by the current auction-volume-to-prior-volume ratio between 0.5 and 2.
• The author presents the volume condition as a measure of market participation, while noting that its significance may vary with market conditions.
• The post warns that auction-volume estimates and data quality can undermine the screen.
• No backtest results or complete trade management rules are provided, and the sample implementation may not faithfully represent every stated condition.

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