Chinese Stock Screening with Turnover and Auction Volume

Summary

This document describes a Chinese equity screening rule that combines turnover, recent price change, and opening auction activity. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and yesterday’s turnover multiplied by the ratio of today’s auction volume to yesterday’s volume between 0.5 and 2. The screen is intended to run before 10 a.m. and uses auction volume as a rough signal of activity and market response.

The article provides a sample implementation outline and explains that the thresholds are relatively permissive. It cautions that the rule may admit risky stocks and that the auction volume comparison uses only recent data, without longer-term context. It suggests combining the screen with technical, financial, or macroeconomic measures, or fitting a machine-learning model, but supplies no backtest results or evidence that these additions improve performance. The sample code also uses daily data fields, so it does not demonstrate how to obtain intraday auction volume in practice.

Key ideas

• The screen requires turnover between 3% and 12% and a 10-day gain above zero but below 35%.
• It filters for a ratio based on yesterday’s turnover and today’s auction volume relative to yesterday’s volume.
• The intended selection time is before 10 a.m.
• The article warns that permissive thresholds and a short volume lookback may leave substantial risk.
• No performance results are reported.

Tags

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