A-Share Screen Combining Turnover, Profit Growth, and Auction Net Buying

Summary

This article presents an A-share selection rule requiring turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and positive net buying by major participants in the opening auction. It provides indicator-formula and Python examples intended to implement the combined fundamental, trading-activity, and order-flow conditions.

The author says auction net buying can add information about capital flows, but cautions that the screen is simple and omits broader company and industry context. Auction data may be delayed or inaccurate, and market volatility can affect selection quality. Suggested extensions include other money-flow measures, company and industry indicators, and comparing multiple data sources. The document supplies no backtest, return statistics, or evidence that the criteria predict performance; some implementation details may not match the prose exactly.

Key ideas

• The screen combines turnover from 3% to 12%, bounded profit growth, and positive opening-auction net buying.
• The rule combines a company earnings measure with trading activity and a capital-flow measure.
• The article warns that the screen omits wider company and industry context.
• Auction data quality and delay can affect the selection results.
• The document offers no performance testing or return evidence.

Tags

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