A Volatility and Turnover Screen Using Auction Volume

Summary

The article describes a stock screen that excludes Beijing-listed shares, selects stocks with a daily high-low range above one percent, and applies a filter based on the prior day's turnover and the ratio of current opening-auction volume to the previous day's volume. It presents formula and Python examples, though the implementations do not clearly align with the stated turnover and auction-volume calculation.

The proposed rationale is to find volatile stocks with notable trading activity, but the document gives no backtest or performance evidence. It warns that the rules are simple, emphasize current market behavior over long-term company value, and assume auction volume is informative. It suggests adding financial criteria and considering volume alongside other indicators. The description also calls the approach a combination of fundamental and technical analysis, but specifies no fundamental selection metric, so that component remains undefined.

Key ideas

• The screen excludes Beijing-listed shares and requires a daily range above one percent.
• It combines prior turnover with a measure involving current auction volume and previous volume.
• The article argues that auction activity may help identify short-term market interest.
• The rule does not define specific fundamental criteria despite describing the screen as partly fundamental.
• No backtest or evidence of trading performance is included.

Tags

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