Screening Chinese Stocks by Opening Gap and Auction Volume

Summary

This post proposes filtering stocks by trading activity and their opening indication at 9:25. It selects stocks with current volume above 10,000 lots and an indicated opening price above the previous close, while limiting the opening gain to less than 6%. The stated rationale is that high volume may signal attention and liquidity, while a positive but limited gap may indicate demand without an especially large opening move.

The article acknowledges that this screen uses only volume and price movement, omitting company fundamentals, industry conditions, and longer-term trends. It suggests adding financial and industry factors and technical indicators such as moving averages or Bollinger Bands. These are recommendations rather than tested refinements: the page provides no backtest, sample, or performance measurements. The auction volume and indicative price are time-specific inputs, so the method depends on reliable data available at that moment; the post does not explain execution rules or how it handles changing auction indications.

Key ideas

• The screen requires current volume above 10,000 lots and an indicated opening price above the previous close.
• It caps the 9:25 indicated gain at less than 6%.
• The author identifies missing fundamental, industry, and longer-term information as limitations.
• Suggested additions include financial analysis and technical indicators, but no test results are supplied.

Tags

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