Screening Chinese Stocks by Auction Value, Volatility, and Prior-Day Top List

Summary

This short-term Chinese equity screen combines three conditions: a price amplitude above one, a ranking among the top five stocks by the day’s auction amount, and an appearance on the prior day’s Dragon Tiger List. The article frames the amplitude condition as a way to find volatile stocks, the auction ranking as a liquidity-related filter, and the prior-day list appearance as a sign of notable trading activity. It includes example indicator and Python-style selection logic, but does not provide performance data or a backtest.

The method focuses on recent price action and trading flows, so it may miss company value and longer-term growth prospects. The author suggests adding technical indicators and examining the buy and sell direction and amounts reported in the list. The sample logic contains implementation ambiguities, including a mismatch between the stated auction amount ranking and the sample data fields, so the screening rules would need to be checked against the actual data source before use.

Key ideas

• The screen combines a price amplitude threshold, a top-five auction amount ranking, and prior-day Dragon Tiger List membership.
• The article treats auction ranking as a filter for trading activity and liquidity.
• Prior-day list membership is used as an indication of notable trading interest, but the screen does not analyze its direction in detail.
• The method emphasizes short-term technical and flow conditions while omitting valuation and longer-term business prospects.
• The sample implementation should be verified because its data fields do not clearly match the described ranking rule.

Tags

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