Screening Chinese Stocks by Volatility, Prior Limit-Ups, and Auction Value

Summary

This Chinese equity screening example selects stocks whose daily high-low range exceeds 1% of the previous close, requires at least two prior limit-up events over a 500-day lookback, and ranks qualifying names by the current day’s opening-auction amount, taking the top five. The post provides indicator-style conditions and a Python illustration. It presents the filters as a way to focus on volatile stocks with repeated limit-up moves and current market attention.

The author cautions that the screen relies on technical activity and trading interest while omitting company fundamentals and macroeconomic conditions. Suggested extensions include profitability, revenue and earnings growth, and additional indicators such as MACD or RSI. The examples are not accompanied by a backtest, portfolio rules, transaction-cost analysis, or evidence that the selection predicts returns. The Python illustration also differs from the stated screen in its amplitude calculation and handling of auction amounts, so its output may not implement the written rules faithfully.

Key ideas

• The stated screen requires daily amplitude above 1% and at least two limit-up events in a 500-day window.
• Qualifying stocks are ranked by current auction value, with the top five selected.
• The author notes that the approach excludes fundamentals and macroeconomic information.
• Fundamental filters and additional technical indicators are suggested as possible extensions.
• The code example is not validated and its amplitude and auction ranking logic differ from the written criteria.

Tags

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