Selecting Stocks by Range, Recent Limit-Ups, and Auction Volume

Summary

The document proposes a Chinese stock screening rule combining daily price range, a recent limit-up event, and a comparison of auction volume with the prior day's volume. Selected stocks enter a candidate pool when the price range exceeds a threshold, at least one limit-up occurred during the prior 25 days, and the specified volume ratio falls between lower and upper bounds. It explains these conditions as signals of volatility, prior market interest, and changing participation.

The post includes indicator and Python examples, but the implementations appear inconsistent with the written rule: the Python condition for a limit-up does not visibly check the preceding 25-day window, and the described turnover component is absent from its volume ratio. It also acknowledges that volume can be affected by non-economic factors, technical history can omit fundamentals, and the signal may lag. No backtest or performance evidence is given, so the screen's profitability is unestablished.

Key ideas

• The screen combines price range, a recent limit-up event, and an auction-to-prior-volume ratio.
• Its rationale is that range and limit-up history may indicate volatility and prior market interest.
• The written selection rule and sample code do not fully align on the lookback and turnover components.
• The post notes that volume signals can be noisy and that technical screening omits fundamental information.
• No backtest results are provided to establish the strategy's performance.

Tags

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