Screening Chinese Stocks by Turnover, Order Flow, and Auction Change

Summary

This Chinese equity screening idea combines three filters: turnover within a specified range, outside volume more than 1.3 times inside volume, and an opening-auction price change between -2% and 5%. The article presents the criteria as a way to select stocks with a particular mix of liquidity, trading pressure, and short-term price behavior. It also includes sample formula and Python implementations, with the Python example adding a restriction to stock codes beginning with 60.

The page does not report a backtest, returns, benchmark, or evidence that these filters predict future performance. Its description notes that auction price changes can be volatile and that screening may be improved by adding technical or fundamental measures, but those additions are suggestions rather than evaluated rules. The formula and code examples also differ in how they express turnover bounds and auction-price calculations, so implementation details should be checked against the intended data definitions before use.

Key ideas

• The screen selects stocks using turnover, outside-to-inside volume, and opening-auction price change.
• The stated volume ratio threshold is greater than 1.3.
• The article provides formula and Python examples, but they differ in some implementation details.
• No backtest or performance evidence is provided, and auction movements may introduce selection risk.

Tags

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