A Chinese Stock Screen Using Volatility, Turnover, and Auction Buying

Summary

The document outlines a Chinese equity screening rule that combines daily price range, recent turnover, opening-auction activity, and estimated large-order buying. It selects stocks with an amplitude above 1 and a product of yesterday’s turnover rate and today’s auction volume divided by yesterday’s volume between 0.5 and 2. It also requires net buying by large and extra-large orders during the auction to exceed the stated threshold. The accompanying explanation frames these conditions as measures of activity, sentiment, and capital flows.

The post includes formula and sample-code references, but it provides no backtest, performance statistics, or evidence that the screen predicts returns. It acknowledges that the filters may produce few candidates, that sentiment and flows are unstable, and that the screen omits company fundamentals. Its code uses data fields and calculations that may not exactly match the written rule, so implementation and data definitions need independent review.

Key ideas

• The screen combines price amplitude, turnover, auction volume, and large-order buying conditions.
• The turnover measure multiplies yesterday’s turnover by the ratio of auction volume to the prior day’s volume.
• The stated rule requires the turnover measure to fall within a bounded range and auction buying to exceed a threshold.
• The post warns that the filters can be restrictive and omit fundamental risks.
• No backtest or return evidence is provided.

Tags

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