A Chinese Stock Screen Using Turnover, Large-Order Flow, and Auction Activity

Summary

This document describes a Chinese stock-selection screen with three conditions: daily turnover between 3% and 12%, the product of the day's price change and super-large-order net volume above zero, and the previous day's auction turnover above 0.26. Its explanation treats the turnover band as a way to select a moderate activity range, the signed product as a proxy for aligned price movement and large-order flow, and auction turnover as a measure of short-term investor attention. It includes indicator-formula and Python examples, although their details do not perfectly align with the prose description.

The author notes that the method is technical and flow-based, without company fundamentals. Auction turnover can fluctuate or be distorted, and large-order measures may not reliably represent informed buying or selling. Suggested extensions include valuation, financial, volume, and sentiment measures, plus smoothing auction turnover. No backtest or evidence that the thresholds improve returns is supplied, and the examples should be checked for data definitions and consistency before use.

Key ideas

• The proposed screen combines a turnover band, a price-change and large-order-flow condition, and prior auction turnover.
• The stated turnover range is 3% to 12%, and the prior auction-turnover threshold is 0.26.
• The article treats large-order flow and auction activity as imperfect proxies for market interest.
• It recommends adding financial and valuation factors and smoothing auction-turnover data.
• The document provides no performance validation, and its examples may differ from the stated logic.

Tags

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