Screening Chinese Equities by Metaverse Theme, Auction Flow, and Turnover

Summary

This selection idea combines three filters for mainland Chinese stocks: membership in the metaverse concept, positive net buying attributed to major traders during the auction, and prior-day actual turnover above 3% and no more than 28%. The stated rationale is to combine a market theme, a proxy for capital flows, and a liquidity or activity measure. Formula references and a Python example illustrate how the criteria could be represented using concept membership, money-flow data, and turnover data.

The document offers a screening recipe and suggests refinements such as considering industry concentration, adding technical factors, and adjusting factor weights. It does not report a backtest, sample selections, returns, or a defined portfolio and trading schedule. The code example uses a specific historical query date and data fields, so it should not be treated as evidence that the screen predicts returns or as a fully specified live strategy. The author also flags data quality, operational adjustments, and investor risk preferences as limitations.

Key ideas

• The screen selects stocks associated with the metaverse concept.
• It requires positive auction-period net buying attributed to major traders.
• It filters on prior-day turnover above 3% and up to 28%.
• The document gives formula and Python examples but no performance test of the screen.
• Possible refinements include industry review, technical factors, and adjusting factor weights.

Tags

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