A Chinese Equity Screen Using Turnover and Auction Volume

Summary

This post presents a Chinese stock selection rule that combines a turnover range, an IPO-year filter, and a measure involving yesterday's turnover and today's opening-auction volume relative to yesterday's traded volume. It gives the intended range for the combined measure and describes the screen as a way to incorporate current trading activity alongside turnover. The accompanying discussion raises possible omissions from turnover data and sensitivity to short-term market fluctuations.

The post also supplies formula and Python examples, but the implementations do not clearly match the stated selection rule: the formula uses closing price and volume references, while the code derives an indicator from price and shifted volume fields and applies an IPO-year and volume filter. The material provides no historical backtest, return analysis, or evidence that the screen predicts performance. The proposed additions of valuation measures or machine learning are suggestions rather than evaluated improvements, so the rule should be treated as an unvalidated screening idea.

Key ideas

• The stated screen combines a turnover band, a 2021 listing-year condition, and an auction-volume measure relative to prior trading volume.
• The author identifies turnover measurement and market fluctuations as possible sources of screening error.
• The formula and sample code do not clearly implement the same stated indicator.
• The document gives no backtest or evidence of returns attributable to the screen.
• Suggested valuation and machine-learning additions are not tested in the post.

Tags

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