Screening Chinese Stocks by Volatility, Opening Auction Price, and Float Value

Summary

The document describes a Chinese stock screen combining amplitude above 1, a prior-day 9:15 matched price at the limit-down price, and circulating market capitalization between 5 billion and 10 billion yuan. It gives indicator conditions for each filter and says the resulting stocks can be ranked by total market value. The proposed rationale is that larger price swings may offer opportunities, the auction price may reflect market sentiment, and a mid-sized float-value range excludes the smallest and largest companies.

The article provides no backtest, performance figures, or evidence that these filters predict returns. It warns that the screen omits company fundamentals and cannot ensure gains. It suggests adding valuation and financial-statement measures, other technical indicators, and controls such as stop losses and position limits. The included Python example is explicitly illustrative, and the document notes that practical use may require modification; it does not establish that the shown code runs as written.

Key ideas

• The screen selects stocks with amplitude above 1 and a prior-day 9:15 matched price at the limit-down level.
• It restricts candidates to a circulating market value from 5 billion to 10 billion yuan.
• The suggested rationale links amplitude to opportunity and the opening auction price to market sentiment.
• The article presents no performance test, so the screen's return potential is unverified.
• It recommends supplementing the filters with fundamental analysis and risk controls.

Tags

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