Screening Chinese Stocks by Intraday Range, Decline, and Auction Amount

Summary

This post describes a simple Chinese equity screen. It selects stocks with an amplitude above 1, a maximum decline for the day between 4% and 5%, and ranks qualifying stocks by the day’s auction amount, taking the top five. The stated rationale combines a volatility filter with an auction-amount ranking intended to favor more liquid candidates.

The post flags liquidity constraints and unexpected company or market events as risks, and suggests adjusting indicators or loosening conditions to avoid an overly restrictive screen. It includes a Python example that retrieves daily stock data, excludes certain listings and ST-designated shares, and selects the five largest by amount. However, the example does not implement the stated amplitude and decline filters, so it is not a faithful executable version of the full selection logic. No backtest, trading results, or evidence of profitability is provided; the screen is a rule proposal rather than a validated strategy.

Key ideas

• The proposed screen requires amplitude above 1 and a daily maximum decline between 4% and 5%.
• Qualifying stocks are ranked by auction amount, with the top five selected.
• The author presents auction amount as a way to incorporate liquidity into a volatility-based screen.
• The example code excludes certain listings and ST shares but omits the main amplitude and decline filters.
• The post provides no backtest or performance evidence.

Tags

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