Metaverse Stock Screening by Turnover and Opening Auction Return

Summary

This stock selection method filters Chinese equities in the metaverse industry using the previous day’s actual turnover rate and the current opening auction return. It selects stocks with turnover between 3% and 28% and auction returns between -2% and 5%. The document gives example indicator formulas and Python code intended to implement the filters, but it does not provide backtest results or evidence that the thresholds produce an edge.

The accompanying discussion suggests that turnover may indicate liquidity and that the auction return offers a short-term price signal. It cautions that auction prices can change quickly and may lead to poor decisions when used alone. It recommends combining the screen with fundamental and technical measures, while leaving the details of those additions and any validation unspecified.

Key ideas

• The screen is restricted to stocks associated with the metaverse industry.
• It filters on prior-day actual turnover between 3% and 28%.
• It requires the opening auction return to fall between -2% and 5%.
• The document provides example formulas and implementation code but no performance evaluation.
• Auction returns are short-term signals and may be noisy, so the screen may need other filters.

Tags

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