A Chinese Stock Screen Using Turnover, Float Value, and Auction Net Buying

Summary

This proposed Chinese main board stock screen combines three filters: daily turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and positive net buying attributed to major traders during the opening auction. The article gives the conditions as a screening rule and includes example formula and Python-style implementations that evaluate the latest observation for each stock.

The author frames auction net buying as a signal of near-term demand, while noting that it may not indicate long-term company value and that unusually strong buying can coincide with volatile price moves. Suggested additions include dividend yield, valuation measures, RSI, MACD, and a Fama-French three-factor approach. No performance results or out-of-sample evidence are reported, so the screen should be treated as an idea rather than a validated strategy; implementation also depends on the data source and definitions of the auction flow and market value fields.

Key ideas

• The screen requires turnover between 3% and 12% and circulating value between 5 billion and 10 billion yuan.
• It selects main board stocks with positive opening auction net buying attributed to major traders.
• The article provides formula and Python-style examples that apply the filters to recent data.
• Auction flow is a short-term observation and may not represent a company's long-term value.
• The document reports no backtest or evidence that the screening rule predicts returns.

Tags

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