Chinese Stock Screening with Turnover, Prior-Day Leaderboard, and Auction Orders

Summary

This Chinese equity screening rule combines a daily turnover range of 3% to 12%, appearance on the prior day’s trading leaderboard, and buy volume from large and extra-large orders during the opening auction above 7 million. The stated rationale is to use the leaderboard as a signal of market attention and opening-auction buying as evidence of demand, aiming to identify strong stocks.

The document gives a formula-style expression and a Python example for applying the filters to stock data. It does not provide backtest results, a holding period, entry or exit rules, or details on execution. Its own risk discussion says the screen omits company finances and industry characteristics and may overreact to short-term order flow, so the selection criteria alone do not establish expected returns or control downside risk.

Key ideas

• The screen requires turnover between 3% and 12% and a prior-day leaderboard appearance.
• It also requires opening-auction large and extra-large buy volume above 7 million.
• The proposed rationale combines market attention with short-term buying demand.
• The document provides screening logic but no performance evidence or trading and exit rules.
• It warns that the rule omits fundamentals and industry context and can be misled by short-term moves.

Tags

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