Screening Shanghai-Listed Stocks After a Limit-Down Auction Price

Summary

This proposed Chinese equity screen restricts candidates to stocks with codes beginning with 60 and turnover between three and twelve percent, then looks for stocks described as having a prior-day 9:15 matching price at the daily limit down. The suggested thesis is to buy after a sharp decline in anticipation of a rebound, while the exchange-code and turnover filters narrow the candidate list. The post includes an example based on stock-list data and daily prices.

The article gives no backtest, trade outcomes, or evidence that a limit-down auction is followed by a recovery. It flags liquidity changes and pre-open rebounds as risks, and suggests adding technical filters and explicit profit targets or stops. Its code appears to infer the auction event from daily open and previous close, which may not capture the 9:15 matched price itself; that proxy and the threshold need verification against suitable auction data before the signal can be evaluated.

Key ideas

• The screen targets stocks with 60-prefixed codes and turnover in a specified range.
• It seeks stocks reported to have had a limit-down matching price at the prior session’s 9:15 auction.
• The proposed trade thesis is to seek a rebound after a sharp decline.
• The post supplies no empirical evidence that the setup produces profitable rebounds.
• Daily open-to-prior-close data may not accurately represent the specific auction price condition.

Tags

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