An Auction Activity and Turnover-Based Stock Selection Screen

Summary

This Chinese-language post proposes selecting stocks with daily amplitude above one, ranking among the top five by the day’s auction amount, and a specified range for yesterday’s turnover rate adjusted by the ratio of today’s auction volume to the previous day’s volume. The author presents these conditions as a way to combine volatility, auction activity, and changes in trading participation. Example formula and Python snippets are included to illustrate the filters.

The post acknowledges that the screen relies heavily on technical and trading-activity measures while omitting company fundamentals and longer-term trends. It recommends adding financial and business information and considering the stability of price movements. However, the examples do not report a backtest, clarify execution assumptions, or show evidence that selected stocks outperform. The selection logic is therefore best understood as a screening idea, with implementation details requiring careful checking before use; the post itself notes that the sample code may need adjustment.

Key ideas

• The screen ranks stocks by auction amount and filters on daily amplitude and an adjusted turnover measure.
• The author interprets the filters as proxies for volatility and trading activity.
• The post recommends incorporating company fundamentals and longer-term trend considerations.
• No backtest results or performance evidence are supplied, and the example code may require changes.

Tags

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