Opening Auction Momentum
Stocks that show unusual strength in the 09:25 call auction, bought at the open and exited the next day.
Paper-trading period 2026-08-10 → 2026-09-29
- Annualized
- −57.8%
- Total return
- −11%
- Win rate
- 55.1%
- Profit factor
- 0.92
- Max drawdown
- −21.1%
Costs assumed: 5.5 bps fee + 5 bps slippage per side · Benchmark: SSE Composite
How it works
At the 09:25 call auction the model scans a pre-built pool for stocks whose auction turnover and opening gap stand out against their own history. Position size is set each morning by a market-condition gate (overseas markets, index trend, distance to the 20-day average, breadth). Results shown are a forward paper-trading record, not a historical backtest: auction-level data cannot be reconstructed after the fact.
When it enters
At the open (09:30 Beijing), only for that morning's hits; size scaled by the day's gate.
When it exits
Next trading day: take-profit limits tiered by the opening gap, otherwise at the close; stop on a close more than 8% below the signal-day close.
Best market conditions
Active markets with strong opening momentum; size is cut automatically on weak days.
Monthly returns
Signal history
Shown with a one-trading-day delay.
No signals published yet.
Factor formula & parameters
The exact factor formula, parameters and full rule set are available on the Elite plan.
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