Screening Chinese Stocks by Turnover, Bid–Ask Depth, and Auction Activity

Summary

This stock-selection proposal filters for shares with daily turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a prior-day auction turnover measure above a stated threshold. The accompanying explanation interprets the turnover band as a way to focus on moderately active stocks, the bid-versus-ask condition as a sign of stronger displayed buying interest, and auction activity as an indication of market attention.

The page includes example screening logic and sample code that combine market-detail, daily turnover, and auction-related data. It provides no backtest, trade results, or evidence that these conditions predict returns. It also warns that the filter focuses on trading activity and may omit company fundamentals, suggesting that users could consider other indicators and industry filters. The printed indicator expressions and code may not align clearly with the prose, so the conditions and data definitions would need verification before practical use.

Key ideas

• The proposed screen combines a 3%–12% turnover range with stronger displayed bid volume than ask volume.
• It also requires the prior day’s auction turnover measure to exceed the stated threshold.
• The rationale treats these conditions as signs of moderate activity and buying interest, but provides no performance evidence.
• The author notes that the screen does not fully account for company fundamentals.
• Data definitions and sample expressions should be checked because some printed logic appears inconsistent with the prose.

Tags

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