Screening Chinese Stocks by Turnover, Moving-Average Proximity, and Auction Demand

Summary

This proposed Chinese equity screen combines a turnover range of 3% to 12%, an opening price within 5% of the 10-day moving average, and buying interest during the opening auction. It also requires large and extra-large order purchases to exceed a stated threshold. The rationale is to find active stocks near a short-term average that show buying demand. The post flags the risk that order flow can be affected by concentrated or manipulative activity and suggests adding fundamental measures and adjusting parameters for risk control.

The article provides formula and Python examples, but they do not establish that the screen works. The Python example uses historical medians and turnover quantiles, which do not clearly match the stated point-in-time conditions; the code also appears to mix quote and volume data. No backtest, sample, or returns are reported. The screen is therefore best read as a proposed selection rule whose data definitions and implementation need verification before evaluation.

Key ideas

• The screen combines turnover, opening price relative to the 10-day average, and auction buying demand.
• The stated turnover band is 3% to 12%, with the open within 5% of the 10-day moving average.
• The post warns that concentrated order flow can make the signal vulnerable to manipulation.
• The provided code does not clearly implement the described point-in-time conditions, and no performance results are given.

Tags

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