Chinese Stock Screen Using Turnover, Opening Price, and Auction Volume

Summary

This post describes a Chinese equity screening rule combining daily turnover, the opening price relative to the 10-day moving average, and a ratio that scales the previous day's turnover by the current opening auction volume relative to the previous day's total volume. It selects stocks with turnover from 3% to 12%, an open within 5% of the moving average, and a scaled turnover measure between 0.5 and 2; one market category is excluded.

The rationale is to find relatively active stocks using both price location and trading activity. The post provides formula examples for two screening environments and a Python data-frame implementation. It does not report a backtest, performance evidence, or execution assumptions. The author notes that auction volume is a short-term signal, and that the screen omits industry, macroeconomic, and fundamental factors; the suggested additions are not tested.

Key ideas

• The screen restricts turnover to a range of 3% to 12%.
• It requires the opening price to be within 5% of the 10-day average closing price.
• It filters on previous turnover adjusted by the ratio of current auction volume to prior total volume.
• The post gives formulas and Python implementation guidance but no performance evaluation.
• The author cautions that short-term volume signals can diverge from later price moves and omit broader market factors.

Tags

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