Chinese Stock Screening by Daily Range and Auction Turnover

Summary

This post proposes screening Chinese stocks for a daily high-low range above one percent during 2021, combined with prior-day auction turnover greater than 0.26. Qualifying stocks enter a candidate pool; the provided Python example then sorts them by closing price in descending order. The document also shows equivalent condition logic and describes auction turnover as a rough indicator of trading activity, while interpreting a wider range as greater volatility and potential opportunity.

The screen is a rule specification, not a complete trading strategy: it does not explain when to buy or sell, how to size positions, or how to manage portfolio risk. No backtest results or evidence of profitability are reported. The author notes that auction turnover may be artificially elevated, that sector competition can complicate selection, and that the rules omit company financial information. Suggested improvements include incorporating volume or traded value, adding financial statement analysis, and adapting thresholds to different market periods or settings.

Key ideas

• The screen combines a daily price range above one percent with prior-day auction turnover above 0.26.
• The specified period is 2021, and qualifying stocks are placed in a candidate pool.
• The sample implementation sorts selected stocks by closing price in descending order.
• The post offers no backtest evidence and does not define trade execution or portfolio risk rules.
• Auction turnover may be distorted, and the screen omits financial fundamentals.

Tags

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