Screening Chinese Stocks by Intraday Range, Opening Gain, and Two-Day High

Summary

This stock screen combines an amplitude threshold above one percent, an opening auction gain below six percent, and a current high that is the highest across two days. The post frames these conditions as a way to identify shares with short-term upward movement while avoiding an opening surge above the stated limit. It also supplies an indicator expression and a Python example that attempts to retrieve market data and filter stocks.

The author warns that the screen does not account for long-term trends or company fundamentals and may encourage chasing short-term price action. The post suggests adding valuation, earnings, industry, or broader market considerations. It offers no backtest results or evidence that the rules predict returns, and the example code’s data fields and timing assumptions would need validation before use. The screen should therefore be read as a rule proposal rather than a demonstrated strategy.

Key ideas

• The screen selects for amplitude above one percent and an opening auction gain below six percent.
• It requires the current high to be the highest over a two-day window.
• The post presents both an indicator formula and a Python data-filtering example.
• The author identifies missing fundamental and long-term trend analysis as limitations.
• No backtest or return evidence is provided to establish the screen’s effectiveness.

Tags

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