A-Share Screening by Turnover, Market Cap, Profitability, and Auction Turnover
Summary
This A-share stock screen combines a daily turnover-rate band of 3% to 12%, market capitalization below 10 billion yuan, and a positive-earnings requirement with yesterday’s auction turnover above 0.26%. The stated rationale is that auction turnover may help identify recently active stocks and provide information about market risk and return. The document also includes example formula and Python implementations, but the code contains inconsistencies: it applies turnover and company filters to individual stocks while calculating the auction-volume condition from a broad index, so it does not faithfully implement the described stock-level screen.
No backtest, performance figures, or comparative evidence is presented. The note itself flags that auction turnover can fluctuate and cautions against relying on a single day’s reading. It suggests adding technical measures and fundamentals such as earnings growth or valuation, but does not specify how to combine them. The screen is therefore a basic selection concept rather than a validated trading strategy; readers would need to define the data timing, correct the implementation, and test survivorship, execution, and risk effects before drawing conclusions.
Key ideas
- The proposed screen requires A-share turnover between 3% and 12%.
- It excludes companies with market capitalization above 10 billion yuan and firms with nonpositive earnings.
- It selects stocks whose prior-day auction turnover exceeds 0.26%.
- The author proposes auction turnover as a measure of recent trading activity, while warning that it can be volatile.
- The examples provide no backtest results, and the Python sample’s index-based auction calculation does not match the stock-level rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.