Chinese Stock Screening with Turnover, Daily Gains, and Auction Flow

Summary

This post presents a Chinese stock selection rule requiring turnover between 3% and 12%, a daily gain above 1% relative to stocks in the same sector, and positive net buying attributed to major participants during the auction. It provides indicator-formula references and a Python example that filters stocks using auction-flow data and recent price history. The example also checks whether the latest close is above a recent average, so its implementation includes a price-trend condition beyond the stated headline rule.

No backtest results or performance evidence are supplied. The post notes that a single auction-flow measure may not faithfully represent large participants’ trading and can create selection bias. It suggests adding further measures, including financial factors, and says the rules should be assessed alongside broader considerations. The examples are references rather than a validated production strategy, and their data availability and implementation details may affect whether they reproduce the described screen.

Key ideas

• The stated screen combines a turnover range, a sector-relative daily gain threshold, and positive auction net buying.
• The Python example also requires the latest close to exceed a recent average price.
• The post provides formula and code examples but no reported backtest results.
• Auction-flow data may be an imperfect proxy for participant activity and can bias selection.
• The author suggests combining the signals with additional financial and market factors.

Tags

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