Screening Shanghai-Listed Stocks by Daily Range and Opening Auction Change

Summary

This stock screen combines three filters: daily range above 1%, a ticker beginning with 60, and an opening auction change between -2% and 5%. The document explains that the range condition selects more active stocks, the ticker prefix narrows the market universe, and the auction move is intended as a short-term indication of supply and demand. It provides example formulas and a Python-style selection function, but no historical test or performance evidence.

The article cautions that auction movement alone does not establish investment value, and that high-range stocks may carry greater risk. It also notes that short-term signals can miss long-term trends and company fundamentals. The suggested improvement is to combine the screen with other technical and financial measures or a multi-factor approach. The examples use different reference calculations for the auction move, so implementations should verify that the data fields and definitions match the intended thresholds.

Key ideas

• The screen requires daily high-low range above 1% relative to the prior close.
• It limits candidates to stocks whose codes begin with 60.
• The opening auction change is bounded between -2% and 5% in the stated selection rule.
• The article warns that short-term auction and range measures omit fundamentals and longer-term context.
• The formulas should be checked against the data provider's definitions before use.

Tags

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