A Metaverse Stock Screen Using Turnover and Auction Net Buying

Summary

This Chinese-language strategy note describes a screen for mainland Chinese stocks in the metaverse theme. Its initial rules select stocks with prior-day turnover above 8% and positive net buying by major participants during the opening auction. The final stated screen adds market capitalization above 1 billion yuan. It also provides indicator definitions and a Python example that retrieves sector, quote, tick, and financial data to build a candidate list.

The note gives screening rules and implementation references, but no historical test, return series, or evidence that the conditions predict future performance. The example code uses a specific historical trade date and additional proxies, including auction bid-versus-ask volume changes and turnover value, so it does not exactly reproduce every stated filter. The author flags that the original approach uses limited indicators and may overfit, and suggests adding technical or fundamental variables or applying machine learning. Those proposals are not evaluated in the document.

Key ideas

• The screen targets metaverse stocks with prior-day turnover above 8% and positive opening-auction net buying.
• The final stated rules also require market capitalization above 1 billion yuan.
• The implementation example uses auction volume changes and other data fields as practical filters.
• The document provides no backtest evidence, and its sample code does not exactly match all stated rules.
• The author identifies omitted fundamentals and overfitting as limitations.

Tags

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