A-Share Screening with Turnover, Seven Down Sessions, and Auction Buying

Summary

This A-share stock screen combines a turnover filter with a run of declining closes and evidence of strong buying around the opening auction. It selects stocks with turnover between 3% and 12%, then looks for large buy orders above the stated monetary threshold. The article also reframes the auction condition as large orders during the first hour after the open, making the timing rule less consistent across its sections.

The document supplies example formulas and Python-like screening logic, but it does not provide backtest results or performance evidence. Its explanations suggest that repeated weakness followed by sizable buying may identify a change in demand, while warning that auction-based filters can miss candidates and that market conditions change. It recommends combining the screen with technical and fundamental measures. The examples differ in how they encode seven declining sessions and the buy-volume threshold, so the stated criteria would need clarification and careful data validation before evaluation.

Key ideas

• The screen combines turnover between 3% and 12% with seven consecutive sessions of declining closes.
• It seeks large buy orders above the stated threshold, though the article varies the measurement window between the auction and the first hour after the open.
• The article offers sample screening logic but reports no performance or backtest evidence.
• It recommends adding technical and fundamental filters and adapting the rules to changing market conditions.

Tags

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