Screening Chinese Stocks by Range, Limit-Down Auction, and 10-Day Return

Summary

This article proposes a short-term Chinese equity screen using three conditions: a daily range greater than one, a prior-day 9:15 indicative matching price at the limit-down level, and a 10-day return above zero but below 35%. It adds an exclusion for stocks designated as special treatment and gives example indicator and Python-style logic for applying the filters, with a suggestion to rank selected stocks by popularity.

The document characterizes the approach as technically focused and high risk. It warns that the screen may overlook company fundamentals, broad market risk, and possible price manipulation, and recommends incorporating fundamental measures, other technical indicators, and capital and risk controls. It provides no backtest or performance evidence, and its code references platform-specific functions and data that may require adaptation. The stated filters therefore describe a candidate-selection rule, not a validated trading strategy.

Key ideas

• The screen combines daily range, a prior-day limit-down auction condition, and a bounded 10-day return.
• It excludes special-treatment stocks.
• The examples show how to express the filters in platform-specific indicator and Python-style logic.
• The article warns that technical filters may omit fundamentals, market risk, and price manipulation.
• No backtest or performance results are provided.

Tags

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