Screening Stocks by Volatility, Three Limit-Ups, and Auction Turnover

Summary

This Chinese-language post outlines a short-term stock screen using three conditions: daily high-low range above a threshold, three consecutive limit-up sessions on the prior day, and positive prior auction turnover above a stated cutoff. It interprets range as a volatility signal, repeated limit-ups as evidence of market attention, and auction turnover as a sign of buying interest. The post also sketches indicator and Python implementations.

The author flags that auction turnover alone may omit actual volume, float size, and persistent fund flows, and that a narrow screen can capture temporary hype rather than durable opportunities. Suggested refinements include checking fundamentals, industry and market conditions, liquidity or capital-flow measures, and trend strength. No backtest results or performance evidence are provided, and the examples should be treated as screening sketches rather than validated trading rules.

Key ideas

• The screen combines a large daily range, a prior three-session limit-up run, and elevated prior auction turnover.
• It treats volatility, recent market attention, and auction activity as complementary signals.
• Auction turnover can mislead when considered without volume, float, or the persistence of capital flows.
• The post recommends adding fundamental, industry, liquidity, and trend analysis before making investment decisions.
• No measured strategy performance is presented.

Tags

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