Chinese Stock Screening by Turnover, Order Flow, and Auction Volume

Summary

This Chinese-language strategy note proposes screening stocks with turnover between 3% and 12%, a ratio of external to internal trading volume above 1.3, and a turnover-adjusted comparison of current auction volume with the prior session’s volume between 0.5 and 2. It presents the conditions as a way to find active shares while filtering out less liquid names.

The post includes formula and Python examples, but offers no historical test, market dates, or measured returns to support the selection rationale. It warns that the screen may miss promising stocks that are currently quiet and may include short-lived popular names with weak long-term prospects. The author suggests adding fundamental and technical checks and considering individual risk preferences; these are recommendations rather than tested extensions. The strategy is therefore a rule-based candidate filter, not a complete entry, exit, or portfolio management system.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects for external trading volume more than 1.3 times internal volume.
• A turnover-adjusted auction-volume ratio must fall between 0.5 and 2.
• The post provides implementation examples but no backtest or return evidence.
• The filter may exclude quiet growth stocks and include temporary market favorites.

Tags

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