A Chinese Stock Screen Using Turnover, Price Gains, and Auction Volume

Summary

The post describes a short-term screen for non-ST main-board stocks with turnover between 3% and 12%, a daily gain above 1%, and a condition based on the relationship between yesterday’s turnover and today’s auction volume relative to prior volume. It presents this as a way to include auction activity alongside turnover and price movement. The article also includes sample indicator and Python snippets, but those examples do not cleanly match the prose: the Python condition uses a total-volume ratio and prior open rather than an explicit auction-volume field, and the indicator formula adds moving-average and volume filters not stated in the core screen.

The document gives no performance measurements or backtest period. It acknowledges that the selection logic omits fundamentals and focuses on a short time horizon, and suggests adding other indicators and considering a longer horizon. Those suggestions do not validate the screen; the exact auction-volume definition, timing, data handling, and intended execution rules remain unclear.

Key ideas

• The proposed screen combines turnover, daily price gain, board and ST status, and a volume relationship involving auction trading.
• The post also shows code examples whose conditions differ from the prose description.
• The author notes that the screen omits company fundamentals and emphasizes a short horizon.
• No backtest results or measured performance are supplied.
• The volume fields and screening timing would need clear definitions for reproducibility.

Tags

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