A Turnover and Auction-Volume Screen for Shanghai-Listed Stocks

Summary

This post proposes screening stocks whose codes begin with 60, whose turnover rate falls within a stated range, and whose relationship between the prior day’s turnover and current auction volume relative to prior volume falls within a specified band. The intended emphasis is trading activity and liquidity, with the author describing the candidates as relatively active and potentially volatile. A short Python example sketches stock-list filtering and ratio calculation using market data fields.

The article warns that the screen omits company fundamentals and sector conditions, and suggests adding business, industry, market-capitalization, and volatility checks. Its sample calculation appears to combine turnover rate with a volume ratio, while the written rule describes a ratio involving auction and prior-day volume; the precise intended measure is therefore unclear. The example also uses a fixed historical date and does not provide a completed validation, backtest, or performance results. The thresholds and formula should be independently checked before interpreting the screen as a reproducible method.

Key ideas

• The screen filters for stocks with codes beginning with 60 and turnover within a specified range.
• It also compares current auction activity with prior-day volume using a stated ratio band.
• The example calculation may not match the written description of the ratio.
• The post identifies missing fundamental and sector filters as limitations.
• No backtest or evidence of strategy performance is reported.

Tags

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