A-Share Stock Screening with Turnover and Opening-Auction Volume

Summary

This note describes an A-share screening rule that excludes Beijing-listed stocks, keeps stocks with turnover between 3% and 12%, and filters by a measure combining the previous day’s turnover with opening-auction volume relative to prior volume. It proposes using a five-day average volume as a more stable reference and suggests adding price movement and moving-average direction to assess trend.

The article explains the screen’s limits: volume alone says little about company value, and emphasis on short-term activity may miss longer trends. It offers a formula reference and a Python example using market data, but the implementation and final proposed rule do not clearly align in how the volume ratio is calculated. No backtest results or evidence of profitability are provided, so the screen should be treated as a selection idea rather than a validated strategy.

Key ideas

• The screen combines a turnover range with a comparison involving prior turnover and opening-auction activity.
• It excludes Beijing-listed A-shares.
• The author suggests using average volume over five days to reduce sensitivity to daily fluctuations.
• Price behavior and moving-average direction could add trend context to volume-based screening.
• Volume filters alone can overlook fundamentals and longer-term trends.

Tags

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