Equity Screening with Turnover, a Ten-Day Average, and Auction Activity

Summary

This Chinese equity screening proposal combines three conditions: turnover between 3% and 12%, an opening price near the ten-day moving average, and prior-day auction turnover above 0.26. The formula defines “near” as within 5% of the average. The note treats auction activity as a possible signal of short-term market attention and uses the other conditions to constrain liquidity and entry price.

It includes a formula and a sample data-filtering expression, but provides no backtest, return evidence, or comparison with simpler screens. The explanation warns that auction turnover may be an unreliable proxy for sentiment, the rules may overfit, and the screen can miss long-term fundamental information. It recommends considering fundamental and industry analysis, testing thresholds across different market conditions, and assessing whether the screen generalizes. The document's examples are illustrative and do not establish that the proposed filters predict profitable trades.

Key ideas

• The screen requires turnover from 3% to 12% and an opening price within 5% of the ten-day moving average.
• It also requires prior-day auction turnover above 0.26.
• The note interprets auction activity as a possible short-term attention signal.
• No backtest or performance evidence is presented, and the document identifies overfitting and weak fundamental coverage as risks.

Tags

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