A Chinese Stock Screen Combining Turnover, Reversal, and Auction Volume

Summary

The article describes a China-focused stock screen. It selects shares with turnover between 3% and 12% and a reversal-style price pattern, then applies a filter based on the previous day’s turnover multiplied by today’s auction volume relative to the previous day’s volume. The stated acceptable range for this combined measure is 0.5 to 2.

It provides reference implementations using a screening formula and Python with market-data fields, and suggests adding technical or fundamental measures to make the screen more comprehensive. The article cautions that activity-based filters can be noisy and says further factors may be needed. It supplies no backtest results, performance evidence, execution rules, or detailed definition validating the reversal condition, so the screen should not be treated as a proven strategy.

Key ideas

• The screen filters for stocks with turnover between 3% and 12% and a reversal-style pattern.
• It constrains a measure combining prior-day turnover and auction volume relative to prior volume to a range of 0.5 to 2.
• The article provides formula and Python examples for implementing the selection logic.
• The author identifies noise as a risk and suggests adding technical or fundamental filters.
• No backtest evidence or trading performance results are given.

Tags

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