Screening Chinese Stocks for Auction Activity and Recent Limit-Ups

Summary

The post describes a stock-selection screen that combines daily price range, opening-auction trading amount, and recent limit-up frequency. Its stated final logic adds a recent low-amplitude condition: select stocks with amplitude above one, rank among the top five by today’s auction amount, have more than two limit-ups in ten days, and show at least one low-amplitude session in that period. Formula examples are provided, along with a Python sketch that filters Shanghai-listed stocks.

The author frames the filters as a way to find active stocks with strong recent price action, while noting that the approach omits fundamentals and industry information and may expose investors to volatile popular shares and unexpected events. Suggested extensions include industry and financial filters and deeper analysis. The post provides no backtest or performance evidence, and its code references undefined or platform-specific functions; the formula and implementation details may therefore need adaptation before use.

Key ideas

• The screen combines price amplitude, auction trading amount rank, recent limit-ups, and a ten-day amplitude condition.
• The stated final rules require more than two limit-up days within ten days and at least one day with amplitude under five percent.
• The Python example narrows its universe to Shanghai-listed stocks.
• The author warns that the filters omit fundamental and industry information and may select risky popular stocks.
• The document supplies no measured results, and its code sketch may require platform-specific changes.

Tags

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