Screening Stocks for Large Range, Limit-Down Auctions, and Turnover

Summary

This post describes a Chinese stock-selection screen combining three conditions: current amplitude above a threshold, a prior-day 9:15 indicative auction price at the limit-down price, and prior-day turnover above 60 million. It frames these filters as a way to find volatile stocks affected by market sentiment while requiring meaningful trading activity. The post also suggests sorting candidates by auction amount and gives examples of indicator expressions and Python-style code intended to implement the screen.

The material is a screening recipe rather than a tested trading strategy. It provides no backtest, performance evidence, sample period, or details about how the signals would be traded after selection. The code example relies on platform-specific functions and includes a data call whose compatibility with the displayed expressions is unclear, so it should not be treated as a ready-to-run implementation. The author notes that reliance on sentiment and short-term conditions raises risk and recommends combining the screen with fundamental measures and risk controls. Those additions are suggestions only; no evaluation of them is included.

Key ideas

• The screen combines amplitude, a prior-day limit-down indicative auction price, and prior-day turnover.
• The post proposes sorting selected stocks by auction amount.
• Its code examples rely on platform-specific functions and may need adaptation.
• No backtest or trading results are provided.
• The author identifies short-term sentiment dependence as a risk and suggests adding fundamental filters and risk controls.

Tags

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