Selecting Stocks by Daily Range and Auction Buying Pressure

Summary

This Chinese stock-selection proposal screens for shares with an amplitude above 1, excludes stocks that closed at the daily limit on the previous day, and requires large and extra-large buy orders during the opening auction to exceed a stated combined volume threshold. The rationale is to seek actively moving stocks with strong auction buying interest while avoiding some prior-day limit-up names. It also includes example indicator conditions and Python-style reference material, though the supplied code is not a complete, validated implementation of the written rules.

The author identifies risks from omitting company fundamentals, industry conditions, liquidity, and the market impact of large orders. The proposed refinements include adding technical and fundamental filters and considering liquidity. No backtest results, holding period, portfolio construction details, or transaction-cost analysis are supplied, so the selection logic should be treated as a screening idea rather than demonstrated evidence of profitable returns.

Key ideas

• The screen combines a minimum amplitude condition with exclusion of prior-day limit-up stocks.
• It uses opening-auction large and extra-large buy volume as a proxy for buying interest.
• The author notes that the approach omits fundamentals and industry factors and may face liquidity risks.
• Additional technical, fundamental, and liquidity filters are suggested, but no performance validation is shown.

Tags

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