Screening Chinese Stocks by Daily Range, Turnover, and Opening Auction Return

Summary

This stock-selection rule screens for shares with daily amplitude above 1, prior-day turnover above 60 million, and an opening-auction return between -2% and 5%. The article explains that the filters combine a measure of price movement, trading activity, and the opening price relative to the previous close. It includes a Python example that calculates these conditions from historical price data and combines them into a single selection mask.

The article offers no backtest, portfolio construction method, or evidence of returns. It cautions that opening-auction behavior captures only a short-term market signal and may overlook broader market conditions and company fundamentals. It suggests expanding the screen with additional market, company, volume, and technical data, but does not specify or evaluate those additions. The stated thresholds define this particular screen; they are not shown to generalize across periods or stocks.

Key ideas

• The screen requires daily amplitude above 1 and prior-day turnover above 60 million.
• It selects stocks whose opening-auction return falls between -2% and 5%.
• The example computes amplitude and opening return from historical price data.
• The article warns that these short-term filters omit broader market and company information.
• No performance test is provided for the screening rule.

Tags

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