Screening Shanghai 60 Stocks by Range and Prior-Day Limit-Down Auction Price

Summary

This note describes a Chinese A-share screen requiring a daily high-low range above 1% of the previous close, a ticker beginning with 60, and a prior-day 9:15 auction match price at the limit-down level. It interprets the range as a volatility filter and the auction condition as evidence of selling pressure, then sketches indicator and Python implementations.

The document offers no backtest, performance statistics, or validation of whether these conditions predict returns. It cautions that the screen relies on one auction observation and omits fundamentals, and suggests combining technical and fundamental factors or adapting the rules to market conditions. The code examples also leave implementation details and data interpretation unclear, so the screening concept should not be treated as a tested strategy.

Key ideas

• The screen combines a daily range threshold with a Shanghai stock-code prefix and a prior-day opening-auction condition.
• The range threshold is presented as a way to select more volatile stocks.
• A limit-down auction match is interpreted as a sign of selling pressure.
• The note warns that this limited technical screen does not assess long-term value or fundamental risk.
• No empirical performance evidence is provided.

Tags

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