A Chinese Stock Screen Using Turnover, Float Value, and Auction Flows

Summary

This proposed Chinese equity screen selects stocks with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and positive auction-period buying by large and extra-large orders above the stated threshold. The post presents the flow condition as a way to find stocks attracting substantial capital, and suggests considering market direction and rebound strength alongside the filters. It includes a formula example and Python-style selection logic; the latter also checks for a positive daily change.

The method is a screening concept rather than a demonstrated strategy: the post supplies no historical test, benchmark, holding period, or trading rules for entries and exits. It warns that reliance on transaction data may leave out fundamentals and broader market conditions, and recommends pairing the screen with indicators such as RSI or KDJ. The stated rules and sample implementation are not fully aligned, so users would need to define the auction flow measurement and reconcile the conditions before evaluating results.

Key ideas

• The screen combines a turnover band of 3% to 12% with circulating value of 5 billion to 10 billion yuan.
• It requires auction-period large-order buying above the stated threshold, with the code example also requiring a positive daily price change.
• The post provides a formula and sample logic but no backtest or performance evidence.
• Auction flow can be informative but may omit fundamentals and broader market conditions.
• The rule definitions and code example should be reconciled before implementation or evaluation.

Tags

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