A Turnover, Float-Capitalization, and Opening-Gap Stock Screen
Summary
This Chinese equity screen first limits candidates to main-board stocks with turnover between 3% and 12% and circulating market capitalization between 5 and 10 billion yuan. It then selects shares whose auction-session price change is between -2% and 5%. The article frames the opening move as a short-term indicator of buying and selling pressure and includes formula and Python examples for applying the conditions.
The document reports no backtest or performance evidence. It warns that auction changes can be distorted by short-lived news or market adjustments, making the signal vulnerable to noise. It recommends combining the screen with technical or fundamental measures, such as moving-average or valuation filters, and validating results. The sample code depends on data-field definitions and market labels, and its treatment of the opening change should be checked against the intended auction-period measure before use.
Key ideas
- The screen combines a turnover band with a circulating market capitalization range for main-board stocks.
- It selects stocks with auction-session changes above -2% and below 5%.
- The article treats auction movement as a short-term measure of buying and selling pressure.
- It provides no evidence of profitability and warns that the signal can be affected by transient market events.
- Data fields and market labels must match the source used to implement the screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.