A-Share Screening with Turnover, Recent Returns, and Opening Auction Flows

Summary

This A-share stock screen combines a turnover range of 3% to 12%, a positive return over the prior ten days capped below 35%, and net buying activity from large and extra-large orders during the opening auction. The post frames the order-flow condition as a way to complement recent price performance. Because the screen also selects stocks that have recently risen, it has a momentum or chasing element and may be vulnerable to losses during market pullbacks.

The article provides formula and Python examples, but their implementation does not consistently match the stated selection rule. For example, the sample code uses daily turnover and return checks, while its block-trade fields and threshold do not clearly implement the described opening-auction flow measure. It offers no backtest results or performance evidence. The author suggests adding other indicators and periodically reviewing the rules, while warning that the strategy needs risk controls; the screen should therefore be treated as a proposed filter rather than a validated trading system.

Key ideas

• The proposed screen combines turnover, ten-day price change, and opening-auction buying by large orders.
• Its recent-return condition gives the screen a momentum-oriented character and exposes it to pullback risk.
• The sample code does not clearly implement the stated opening-auction order-flow requirement.
• The article provides no backtest or other evidence that the screening rules are profitable.
• The author recommends supplementary indicators, periodic review, and risk controls.

Tags

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