Screening for Turnover, Recent Gains, and a Prior Limit-Down Auction Price
Summary
This document outlines a Chinese stock screen requiring turnover between 3% and 12%, a positive 10-day gain below 35%, and a prior-day 9:15 pre-open auction matching price at the limit-down level. The stated idea is to use the auction price to find stocks that showed a pronounced price event, while the turnover and recent-return filters constrain the candidate set. The article also includes a sample selection routine, although its data checks do not cleanly implement the described 10-day return and auction-price conditions.
No backtest, performance figures, or evidence of predictive value is presented. The article cautions that the selection omits fundamental and technical context and that pre-open matching prices may be uncertain or unstable. It recommends combining the screen with broader analysis, but does not specify or evaluate such additions. The criteria should therefore be read as a proposed short-term filter rather than a validated strategy.
Key ideas
- The proposed screen combines turnover between 3% and 12% with a positive 10-day return below 35%.
- It selects stocks whose previous-day 9:15 auction matching price was at the limit-down level.
- The article provides no performance testing, and its example code may not match the described conditions precisely.
- Pre-open auction data can be unstable, and the screen omits broader company and market analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.