A Chinese Stock Screen Using Turnover, Recent Returns, and Auction Amount

Summary

This note describes a Chinese equity selection rule: screen for stocks with turnover between 3% and 12% and a positive 10-day gain below 35%, then rank eligible names by the day’s auction amount and select the top five. The stated rationale is to combine trading activity with recent price movement and use auction amount to prioritize candidates.

The article cautions that the rule emphasizes market trading and liquidity conditions while omitting company fundamentals such as earnings. It also says auction-amount rankings may be unstable. Its sample Python implementation does not clearly reproduce the stated rule: it checks a single-day return and turnover, ranks by daily amount, and calculates additional statistics afterward. No performance results or systematic backtest evidence are provided, so the screen should be treated as a selection example rather than a validated strategy.

Key ideas

• The screen filters stocks by turnover and a bounded positive 10-day return.
• Eligible stocks are ranked by auction amount, with the top five selected.
• The article identifies missing fundamental analysis and unstable auction rankings as risks.
• The example code does not fully implement the stated 10-day return and auction-amount criteria.

Tags

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