A Chinese Stock Screen Combining Turnover, Seven-Day Declines, and Auction Flows

Summary

The document describes a Chinese equity selection rule combining three conditions: turnover between 3% and 12%, seven consecutive sessions of falling closing prices, and positive net buying by major participants in the opening auction. It includes example formulas and Python-style logic, with the latter smoothing the auction-flow measure using a five-session rolling average. The setup mixes a liquidity or activity filter, a recent price-downtrend condition, and a short-term flow signal; it is a screen rather than a complete entry, exit, or portfolio strategy.

The author warns that combining many filters can produce a narrow or unusual set of stocks, and that auction net-buying data can fluctuate over short horizons. Suggested refinements include adding valuation or financial criteria and averaging flow data across periods. The document provides no backtest, benchmark comparison, transaction-cost estimate, or evidence that the screen predicts returns. Its claims about accuracy and reliability are proposals, not demonstrated results, and the precise interpretation of the auction-flow metric may depend on the data source.

Key ideas

• The screen requires turnover within a specified band, seven consecutive daily declines, and positive opening-auction net buying by major participants.
• The example implementation smooths the auction-flow measure with a rolling average.
• The rule combines trading activity, price behavior, and a flow measure.
• The author notes that multiple filters may leave an unusually narrow stock universe.
• No backtest or performance evidence is supplied, so the strategy's predictive value is unknown.

Tags

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