Chinese Stock Screen Using Turnover, Three Down Days, and Auction Buying

Summary

This Chinese equity screening idea combines a turnover range of 3% to 12% with three consecutive declining sessions and strong premarket auction buying. It further selects stocks whose large and extra-large orders rank near the top by price change, with the combined buy volume at the top two bid levels exceeding 70 million shares. The stated rationale is that these order flows may signal changing capital inflows and possible upside potential.

The document offers indicator and Python examples, but their implementation details do not fully align with the prose: one example uses moving-average declines, and the Python version uses different bid-related data and a different volume threshold. No performance results or backtest evidence are provided. The author notes that auction timing and persistent high buying can be unreliable or precede a pullback, and suggests combining the screen with other technical and fundamental criteria, including a relative threshold for order volume.

Key ideas

• The screen combines 3% to 12% turnover with a three-session decline.
• It uses premarket auction buying by large orders as a selection signal.
• The stated buy-volume threshold is 70 million shares across the top two bid levels.
• The document provides example implementations that differ from the written screening logic.
• Auction flows may be misleading, and sustained buying can precede a correction.

Tags

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