Sell-off Microcaps

仕組み

A market switch decided at the 09:25 call auction itself: of all valid Shanghai and Shenzhen A-share auctions, fewer than 25% may be above yesterday's close (a broad sell-off open); otherwise no new positions. On those mornings, only main-board stocks (00 / 60 codes) with a float market cap of ¥0.5bn–¥2bn at the auction price, an auction price 1–3% below yesterday's close, and auction volume 1–3× the average of the previous five auctions (at least three valid). Liquidity floors: price ≥ ¥3, auction value ≥ ¥1m, prior-day value ≥ ¥30m, at least 60 trading days listed. Up to three names, smallest float cap first. Sizing is full capital: yesterday's positions are sold at the open and all equity is split equally across the day's picks. The idea is a short-term rebound in tiny, moderately marked-down stocks when the whole market opens weak. History: an integer-cent account simulation from Jan 2025, net of commission, stamp duty, transfer fees and an extra 0.10% execution cost each side. Profit is concentrated: the best five trades made about two-thirds of it. At 0.3% cost per side the return falls from +96% to about +45%.

適した相場環境

Panic or broad-weakness opens, when tiny stocks marked down at the auction tend to bounce by the next morning.