Equity Screening by Turnover, Float Value, and Auction Activity

Summary

This post outlines a Chinese equity screen using three activity and size filters: daily turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and prior-day opening-auction turnover above 0.26. It gives a technical formula and a Python example, defining auction turnover in the latter as auction volume divided by shares outstanding. The intended rationale is to find actively traded, attention-getting stocks.

The article presents no backtest, sample, or performance evidence. It acknowledges that the screen relies on activity measures and omits company fundamentals, while the auction-turnover cutoff is subjective and needs historical validation. It suggests adding valuation measures such as price-to-earnings or price-to-book and evaluating the threshold against past data. The examples also require care in implementation: field names and units must match the selected data source, and the stated capitalization range is expressed in yuan in the formula.

Key ideas

• The screen requires turnover from 3% to 12% and circulating market value from 5 billion to 10 billion yuan.
• It adds a prior-day opening-auction turnover threshold above 0.26.
• The Python example computes auction turnover as auction volume divided by circulating shares.
• The post provides no evidence of profitability and notes that the threshold is not universally established.
• It recommends validating the cutoff historically and adding fundamental measures such as valuation ratios.

Tags

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