Screening Mainboard Stocks by Turnover, Daily Gain, and Auction Buying
Summary
The document describes a Chinese mainland stock screen combining three conditions: turnover between 3% and 12%, a daily gain above 1%, and large plus extra-large buy volume in the auction above the stated threshold. It presents the screen as a way to seek actively traded stocks with positive price action and buying interest at the auction. The article also includes example formula and Python implementations, with fields for turnover, daily change, and auction buy volume.
The rationale offered is that the turnover band may temper short-term volatility while the auction order flow adds a liquidity and activity signal. No backtest, performance evidence, or measurement of predictive power is provided. The author notes that the screen omits company fundamentals and that auction orders alone do not represent overall market conditions. Suggested extensions include fundamental filters, other technical measures, and a longer observation window. The code examples also differ in their market and price-change details, so implementation requires checking the intended universe and formula semantics before use.
Key ideas
- The screen selects mainboard stocks using turnover, daily price change, and auction buying volume.
- The stated turnover interval is 3% to 12%, and the daily gain threshold is above 1%.
- Large and extra-large auction buy volume is combined as an additional activity filter.
- The document provides formula and Python examples but no evidence of historical performance.
- Fundamental risk and incomplete auction-market information remain limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.