Chinese Stock Screening by Turnover, Three Down Days, and Auction Value

Summary

The document describes a Chinese equity screening rule: keep stocks with turnover between 3% and 12% and three consecutive sessions closing down, then rank them by the day’s auction amount and select the top five. It frames turnover as a liquidity filter and the run of declining closes as a way to identify stocks under recent selling pressure. The ranking is intended to make selection more systematic, but the document provides no backtest or performance evidence for the rule.

The article cautions that this screen omits company fundamentals and risk controls, and that a high auction-amount ranking does not predict stronger subsequent returns. It suggests adding fundamental measures and considering market leaders or sector themes. The included example code is only a rough reference: it does not clearly implement the stated turnover filter or isolate auction-period trading, so its output should not be treated as a faithful test of the full strategy.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and three consecutive down sessions.
• Candidates are ranked by the current day’s auction amount, with the top five selected.
• The document gives no performance evidence that this ranking improves subsequent returns.
• Fundamental quality and explicit risk controls are missing from the proposed screen.
• The sample code may not faithfully implement the stated turnover and auction filters.

Tags

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