China Stock Screen Using Turnover, Recent Limit-Ups, and Auction Amount

Summary

This post presents a Chinese stock-selection screen that filters for turnover between 3% and 12%, requires at least one limit-up event in the previous 25 days, and ranks candidates by the day’s opening-auction amount, selecting five. The accompanying explanation frames the conditions as a way to combine trading activity, liquidity, and market interest, and says the screen may suit stronger markets. It also cautions that the criteria are simple and omit company fundamentals and profitability, which can reduce selection accuracy.

The post suggests adding fundamental and technical filters or keeping a wider candidate list. It includes example screening logic and Python code, though the code’s implementation does not exactly match the stated rule in every detail: for example, it uses a turnover quantile and adds a net-volume condition. No backtest results, transaction costs, benchmark comparison, or evidence of profitability are supplied. The screen should therefore be understood as a sample rule set rather than a validated strategy.

Key ideas

• The proposed screen requires turnover from 3% to 12% and a limit-up event within the prior 25 days.
• Candidates are ranked by opening-auction amount, with five selected.
• The post says the screen focuses on market activity and may be more suitable in stronger markets.
• It warns that the criteria omit fundamental and profitability measures.
• The example code adds conditions and calculations that do not fully match the stated screening rule.

Tags

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