A-Share Stock Screen Using Turnover and Positive Auction Net Buying

Summary

This note describes a Chinese A-share screening rule that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires positive net buying attributed to major traders during the auction. The stated rationale is to identify actively traded stocks with signs of incoming capital. It also suggests adding company financial and industry measures and checking where and when the flows originate.

The document provides a screening formula and a Python example based on money-flow data. It offers no historical performance, out-of-sample evidence, or execution analysis. The accompanying code appears to check a money-flow record rather than explicitly implement the turnover range and Beijing exclusion, so it does not fully demonstrate the complete rule. The note itself cautions that short-term or speculative flows may not indicate durable investment value, and that fundamentals and industry conditions are omitted.

Key ideas

• The screen requires turnover between 3% and 12%, excludes Beijing A-shares, and selects positive auction net buying.
• The proposed rationale is that positive major-trader flows may signal near-term investor interest.
• The note recommends supplementing flow data with company financials and industry trends.
• It warns that speculative or temporary inflows may not reflect long-term value.
• The provided Python example does not visibly implement every condition in the stated screen.

Tags

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