Chinese Stock Screen Using Turnover, Bid-Ask Volume, and Auction Returns

Summary

This Chinese stock-selection rule screens for stocks with turnover between 3% and 12%, greater volume at the best bid than at the best ask, and an opening-auction price change between -2% and 5%. The article frames these filters as a way to combine trading activity, order-book balance, and a bounded pre-open price move. It gives a screening expression and a Python example that filters market data for bid volume and auction return.

The article offers no backtest, return data, or comparison with a benchmark, so it does not establish that the screen is profitable. It also notes that the method omits company fundamentals, industry conditions, and broader market risks. The example shows a market-data query for a specified trading date, and the article suggests adding financial and technical factors for further evaluation. Implementation details and the effect of the filters would need independent checking before use.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks where best-bid volume exceeds best-ask volume.
• The opening-auction price change must fall between -2% and 5%.
• The article provides a screening expression and a sample data-filtering approach but no performance results.
• It warns that the screen excludes company, industry, and broader market factors.

Tags

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