Screening Chinese Stocks by Turnover, Three Down Days, and Auction Volume

Summary

This stock screen selects shares with turnover between the stated bounds, three consecutive declining sessions, and a condition that scales yesterday’s turnover by the ratio of today’s auction volume to yesterday’s volume. The scaled value must remain within a specified interval. The article presents the rule as a combination of turnover, recent price direction, and early-session trading activity, with formula and Python examples intended to identify qualifying Chinese equities.

The author notes that the screen omits factors such as industry trends, policy developments, valuation, earnings, and market sentiment, and suggests adding these for more context. No historical results or evidence of predictive value are supplied. The code excerpt also does not make every definition and calculation fully clear, so the stated rule would need careful implementation checks and out-of-sample testing before being used as a trading signal.

Key ideas

• The screen requires turnover within a stated range and three consecutive declining sessions.
• It also bounds a measure combining prior turnover with the current-to-prior auction volume ratio.
• The proposal does not account for industry, policy, valuation, earnings, or sentiment factors.
• No performance evidence is provided, and the example implementation needs validation.

Tags

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