Equity Screening with Turnover, Order-Flow Imbalance, and Auction Buying

Summary

This post proposes screening stocks for turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and positive net buying by major participants during the auction. The filters aim to combine trading activity, buy-versus-sell volume, and auction-period capital flow. A SQL-style example shows the core conditions; a Python reference adds a code-based restriction for certain Chinese listings.

The post warns that the chosen indicators and thresholds may be overfit, may respond slowly, and could behave differently across market environments. It suggests considering technical indicators and fundamental information, but presents no backtest, benchmark, or performance evidence for the original or expanded screen. The examples also differ in details, including strict versus inclusive turnover boundaries, so the intended definitions and the handling of zero inside volume should be clarified before implementation.

Key ideas

• The screen uses turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and positive auction net buying.
• The conditions are intended to capture liquidity and buying pressure.
• The post flags subjective parameter choices, overfitting, and market-regime sensitivity.
• Its sample implementations differ on turnover boundary treatment and require definition checks.
• No performance results are provided for the screen.

Tags

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