A-Share Screening by Turnover, Large-Order Flow, and Auction Value
Summary
The screen selects Chinese shares with turnover between 3% and 12%, then requires the product of the daily price change and the net amount attributed to very large orders to be positive. It ranks qualifying stocks by opening auction value and keeps the top five. The intended rationale is to combine moderate trading activity with a price and order-flow signal pointing in the same direction, while using auction participation to prioritize candidates.
The article describes this as a selection rule and provides illustrative implementation logic, but gives no backtest, performance figures, or evidence that the filters predict returns. Its own risk discussion notes that the screen ignores company fundamentals and that unusual auction activity can distort ranking. It suggests adding fundamental filters and other ranking variables, and excluding stocks at the daily limit. The sample code’s conditions do not fully correspond to the stated rule, so implementation details should be checked before use.
Key ideas
- The rule screens for daily turnover between 3% and 12%.
- A positive product of daily price change and very-large-order net flow is required.
- Candidates are ranked by opening auction value, with five selected.
- The article provides no performance evidence and warns that fundamentals and extreme auction activity are not addressed.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.