Screening Chinese Stocks by Turnover, Listing Prefix, and Auction Activity

Summary

This screen selects stocks whose turnover rate is between 3% and 12%, whose code begins with 60, and whose prior-day auction turnover rate exceeds 0.26. The post frames the turnover condition as a liquidity filter and the auction measure as a way to incorporate recent trading activity. It supplies a database-style selection example and a Python sketch for collecting stocks and applying conditions. The examples do not provide a tested or unambiguous implementation: the code uses different data fields and timing conventions, and the code-prefix restriction narrows the eligible universe.

The document provides no historical test, return figures, or comparison with a benchmark. It acknowledges that the conditions are limited and may omit relevant fundamentals, technical measures, events, or other market influences. Auction turnover can also vary with outside factors. The screen is only a stock-selection proposal; it does not specify portfolio construction, trade timing, exits, or position sizing, and the post recommends monitoring auction activity dynamically and broadening the criteria.

Key ideas

• The selection rule combines a 3%–12% turnover range, a 60 code prefix, and prior-day auction turnover above 0.26.
• The post includes database and Python examples, but their data handling is not fully consistent.
• No backtest or performance evidence is reported.
• The author identifies narrow criteria and external influences on auction turnover as limitations.

Tags

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