Screening Shanghai-Listed Stocks by Intraday Range and Auction Amount

Summary

The document outlines an equity screening rule for stocks whose codes begin with 60. It first requires the high-to-low range, divided by the previous close, to exceed 1%, then ranks qualifying stocks by the day’s auction amount and selects the top five. The accompanying rationale treats a larger range as a sign of volatility and high auction turnover as a sign of recent attention.

It provides formula and Python examples, but no backtest, trading results, or evidence that the screen predicts returns. The discussion itself cautions that heavily traded names may be subject to speculation and that auction activity alone says little about long-term value or risk. It suggests adding technical and fundamental factors or using a multi-factor approach. The rule is a candidate-selection filter, not a complete strategy: it does not define entry timing, exits, position sizing, or how the auction data is timestamped and handled in live use.

Key ideas

• The screen keeps stocks with codes beginning with 60 and a daily range above 1% of the prior close.
• It ranks qualifying stocks by auction amount and selects the top five.
• The document warns that popularity and auction activity do not establish long-term investment value.
• The rule does not specify trade execution, exits, or position sizing.

Tags

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