Selecting Chinese Stocks by Volatility, Prior-Day Limit-List Activity, and Opening Gain

Summary

This stock-selection screen combines three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading activity list known as the 龙虎榜, and a 9:25 a.m. gain below 6%. The stated rationale is to seek volatile, actively traded stocks that have not already risen too sharply before the open. The document gives example formula and Python-style logic for calculating amplitude, checking list membership, and intersecting the qualifying stock sets.

The article offers a qualitative rationale rather than evidence that the screen produces stable returns; it supplies no backtest results or evaluation of execution. It acknowledges that the rules may yield few candidates, miss highly active stocks, and rely too heavily on the opening gain. It suggests adding technical or fundamental inputs and adapting the gain threshold, but does not test these changes. The sample implementation’s dates and data conventions also need to be checked before use, since the text does not establish that they align with the stated signal timing.

Key ideas

• Screen for stocks with prior-day amplitude above 1%, prior-day list activity, and a 9:25 a.m. gain below 6%.
• The proposed rationale is to combine volatility and market attention while avoiding stocks that have surged too far before the open.
• The examples implement the screen by intersecting sets that meet each condition.
• The document identifies narrow screening criteria and missed candidates as risks.
• No backtest evidence establishes the strategy’s returns or execution quality.

Tags

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