A Stock Screen Using Turnover, K Value, and Opening Auction Change

Summary

The post proposes screening Chinese stocks by a daily turnover rate of 3%–12%, a K indicator below 20, and an opening auction price change between -2% and 5%. It presents the filters as a way to identify stocks with short-term potential, then suggests adding financial condition, business prospects, and industry trends as further selection criteria. It includes references to indicator syntax and a Python example, but does not provide a backtest or documented performance evidence.

The method is underspecified: the K indicator is not defined, the auction-change calculation and data timing are unclear, and the example’s data fields and screening logic are not validated in the text. The added fundamental criteria are also qualitative rather than operationalized. No risk controls, transaction costs, execution assumptions, or out-of-sample results are reported, so the screen should be treated as an untested candidate filter rather than an established strategy.

Key ideas

• The proposed screen combines turnover between 3% and 12%, a K value below 20, and an auction change from -2% to 5%.
• The post recommends adding financial and industry context to the technical filters.
• It provides formula and Python references but no evidence that the implementation is correct.
• The indicator definition, timing, and data fields are not sufficiently specified for reliable replication.
• No backtest, transaction cost model, or risk management method is reported.

Tags

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