Screening Chinese Stocks by Range, Turnover, and Opening Gap

Summary

This Chinese-language post proposes a stock screen using three conditions: daily price amplitude above a threshold, the prior day’s actual turnover between 3% and 28%, and the opening auction change between -2% and 5%. It frames these as short-term price, trading-activity, and auction indicators, and includes example formula and Python-style implementations for selecting candidates.

The post cautions that the screen relies on technical and auction data while omitting company financials and operating conditions. It suggests balancing the filters and adding fundamental or industry-policy analysis. No historical backtest, returns, or risk statistics are given, so the claimed usefulness is not empirically established. The sample code also appears to calculate volume ratios in places where the stated rule calls for actual turnover, and data-field definitions may vary by source; the implementation should be checked before use.

Key ideas

• The proposed screen combines price amplitude, prior-day turnover, and opening-auction change.
• The stated thresholds are amplitude above 1, turnover from 3% to 28%, and auction change from -2% to 5%.
• The author warns that price and auction filters omit company fundamentals and operating conditions.
• The post recommends adding fundamental or industry context, but provides no performance evidence.
• The example code’s volume-ratio calculations may not match the stated actual-turnover condition.

Tags

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