A-Share Screening by Turnover, Opening Price, and Auction Amount

Summary

This post describes a China equity screen that keeps stocks with turnover between 3% and 12%, an opening price within roughly 5% of the 10-day moving average of closing prices, and a high ranking by the day’s auction amount. The example implementation selects the top five by auction amount. It is presented as a way to focus on stocks attracting short-term market interest while requiring moderate turnover and an opening price near its recent average.

The author notes that the screen omits company fundamentals and treats a single day’s auction activity as a proxy for demand, which may not represent longer-term interest. A top-five cutoff may also exclude smaller-cap stocks. The post suggests incorporating financial and industry information, using auction activity over longer periods, and adapting the rule to market conditions. It supplies formula and Python examples but gives no backtest, performance statistics, or evidence that the strategy works in live trading.

Key ideas

• The screen constrains turnover to a stated 3%–12% range.
• It requires the opening price to be within about 5% of the 10-day closing-price average.
• Candidates are ranked by auction amount, with the example choosing the top five.
• The author cautions that daily auction activity does not capture long-term demand and may omit smaller-cap stocks.
• No performance testing or live results are reported.

Tags

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