Intraday Stock Screening with Turnover, Opening Price, and Auction Return

Summary

This post presents a short-term Chinese stock screen requiring turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and an auction-period return greater than -2% and less than 5%. It frames turnover as a measure of trading activity, the opening-price band as a technical condition, and the auction move as a short-term price signal. Formula and Python examples show how the conditions can be combined, although the text does not establish that the examples were tested.

The post characterizes the approach as suitable for investors with medium-to-high risk tolerance and notes that fast market changes can make the screen stale. Its technical inputs may not capture major company or fundamental developments. It suggests adding fundamentals such as valuation or profitability, other indicators, factor adjustments, and stop or take-profit rules. No backtest results, execution assumptions, or evidence of profitability are supplied; the screen is therefore a candidate selection rule, not a validated trading strategy.

Key ideas

• The screen requires turnover from 3% to 12%, an open within 5% of the 10-day average, and an auction return between -2% and 5%.
• The post provides formula and Python examples for expressing these filters.
• It warns that short-term signals can lag rapid market changes and omit fundamental news.
• No performance results or execution assumptions are reported.

Tags

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