Chinese Stock Screen Using Turnover, Bid Depth, and Auction Volume

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a ratio involving the prior day’s turnover and the current opening-auction volume relative to prior volume that falls between 0.5 and 2. The article says the combined filters aim to identify active, liquid stocks for short-term trading, then takes up to 20 names from a specified large-cap index universe.

The document includes formula and Python examples, but the implementations appear inconsistent with the stated rule: the formula uses different inputs, while the Python section’s fields and calculations do not clearly reproduce the described auction-volume ratio. It offers no backtest or performance evidence. The article also acknowledges that the screen relies on quantitative market measures and omits other technical and fundamental considerations.

Key ideas

• The stated screen combines a turnover range with stronger top-of-book bid volume.
• It adds a filter based on prior turnover and opening-auction volume relative to prior volume.
• The article proposes selecting up to 20 stocks from a large-cap index universe.
• The code examples do not consistently implement the stated screening logic.
• No backtest results are provided, and the screen may omit relevant market and company factors.

Tags

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