Metaverse Stock Screen Using Turnover, Auction Volume, and Market Cap

Summary

This A-share screening rule selects stocks associated with the metaverse theme, with prior-day turnover above 8% and a condition tied to the product of prior-day turnover and the ratio of current auction volume to the previous day’s volume. The displayed interval for that product is between 0.5 and 2. The final rule also adds a market-cap filter for the lowest quarter of stocks by capitalization. The page includes formula and Python examples for implementing the screen.

The document argues that volume may help identify price activity but warns that news can distort volume readings, data reliability matters, and theme concentration creates exposure. It suggests adding financial or market-cap considerations and filtering unusually volatile stocks. It reports no backtest, trading returns, or validation, and the prose and code appear to differ in how the turnover-weighted volume condition is applied.

Key ideas

• The screen focuses on stocks classified in the metaverse theme.
• It requires prior-day turnover above 8% and a turnover-weighted auction-volume ratio between 0.5 and 2.
• The final selection adds a filter for stocks in the lowest market-cap quartile.
• The document warns about news-driven volume spikes, data quality, and concentration in one theme.
• No empirical results are provided, and the formula and implementation may differ.

Tags

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