Screening Main-Board Stocks by Turnover, Relative Gain, and Auction Activity

Summary

This stock-selection rule targets main-board shares with turnover between 3% and 12%, a daily gain above 1% relative to stocks in the same sector, and previous-day auction turnover above 0.26. The article presents the auction-turnover filter as a way to favor more liquid and active shares. It also includes example implementations for a stock screener and a Python data workflow, with additional calculations intended to identify a rising move.

The article cautions that using auction turnover can admit volatile, unstable stocks, and that several filters may reduce screening efficiency. The code examples do not constitute a tested strategy: the document provides no backtest, execution assumptions, transaction costs, or performance results. Some implementation details and data fields may depend on the platform and data source, so the stated rule should be checked for consistent definitions—particularly the benchmark used for relative gain and how auction turnover is measured—before evaluation.

Key ideas

• The screen combines a 3% to 12% turnover range with a daily gain above 1% relative to the same sector.
• It adds a previous-day auction-turnover threshold above 0.26 for main-board stocks.
• The article frames auction turnover as a proxy for liquidity and market activity.
• The author notes that the added filter may select unstable stocks and complicate screening.
• The provided code examples are not accompanied by backtest results or execution-cost analysis.

Tags

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