Screening Stocks by Prior-Day Range and Opening Auction Gain

Summary

This Chinese equity screening idea selects stocks with a prior-day amplitude above 1, no limit-up close on the previous day, and an opening gain below 6% at 9:25. The stated rationale is to avoid shares already showing a large opening rise while retaining stocks with prior movement. The page also gives formulas for amplitude and opening gain and includes a code reference that describes scanning listed stocks and checking minute-bar data.

The explanation warns that the screen relies on the opening situation and does not account for price changes later in the session. It suggests adding intraday price movement, volume, and fundamental or technical measures for further analysis. The article’s final description broadens the approach to a multi-factor selection process, but it does not provide tested results or a fully specified portfolio rule. Its code example and prose also leave ambiguities in how the thresholds and market capitalization condition are applied, so the screen should not be treated as a validated strategy.

Key ideas

• The proposed screen combines prior-day amplitude, prior-day limit status, and the opening gain at 9:25.
• Its stated aim is to avoid stocks that have already risen sharply by the opening.
• The page provides formulas for amplitude and opening gain but no performance evidence.
• The author notes that opening-only selection misses price changes during the rest of the session.
• Intraday movement, volume, and other measures are suggested as additional screening inputs.

Tags

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