Mainland China Stock Screen Using Turnover, Daily Gains, and Auction Moves

Summary

This document describes a short-term screen for main-board stocks. It selects shares with turnover between 3% and 12%, a daily gain above 1% relative to the same market-board comparison, and an opening-auction move between -2% and 5%. It provides both a technical-indicator formula and a Python example that filters stock data and checks prices against these conditions.

The accompanying discussion says the combination aims to find stocks showing activity and positive price action, while cautioning that the screen uses only a few technical factors. Auction prices can be affected by earlier trading and large participants, and the example does not account for intraday price changes or trading volume in its auction assessment. The article suggests adding fundamentals such as market value or return on equity, along with volume or fund-flow data, and mentions machine-learning methods as possible refinements. It supplies no backtest, performance evidence, or rules for entry, exit, and risk control; the screen should therefore be treated as a selection heuristic rather than a tested trading system.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain above 1%.
• It limits the opening-auction move to a range from -2% to 5%.
• The article provides formula and Python examples for implementing related filters.
• Auction prices may be distorted by large participants and do not capture later intraday movement.
• The document offers no performance testing or complete trade-management rules.

Tags

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