Screening Stocks for Large Range and a Prior Limit-Down Signal

Summary

This post describes a Chinese A-share screening rule that combines a daily high-low range above one percent, a date filter for 2021, and a condition intended to identify a prior session's 9:15 matched price at the limit-down level. It sketches equivalent conditions in a charting formula and a Python-style data workflow, then proposes adding other indicators to broaden the selection process.

The post offers no backtest, performance figures, or validation that the code precisely captures the stated opening-auction condition. Its own discussion flags volatility and relying on a single signal as risks. The threshold and date filter define a candidate-stock list, not a demonstrated trading strategy; the example also includes a specific stock-code assumption in its implementation.

Key ideas

• The screen combines a daily range threshold, a 2021 date condition, and a prior limit-down-related signal.
• The post outlines charting-formula and Python-style ways to express the conditions.
• It warns that volatile stocks and single-indicator selection can create risks.
• No performance evidence or validation of the signal implementation is presented.

Tags

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