Screening Recent Listings by Turnover and Auction Buying

Summary

This Chinese equity screening example selects stocks listed in the current year, with turnover between 3% and 12%, and positive net buying by major participants during the opening auction. The article frames the turnover band as a way to focus on active, tradable stocks and the auction flow condition as a market sentiment signal. It includes indicator logic and sample Python that retrieves a stock list and quote data, then filters candidates using listing year, net buying, and turnover-related fields.

The author warns that this approach omits company fundamentals and may put too much weight on auction net buying. The suggested enhancements are to add other measures of intraday flow and activity, incorporate fundamental data, and adjust the weight assigned to the auction signal. The article gives no historical performance analysis, validates neither the signal nor the code’s data-field assumptions, and does not specify portfolio sizing or execution rules.

Key ideas

• The screen combines current-year listings, turnover between 3% and 12%, and positive opening-auction net buying.
• Turnover is used as a proxy for activity and tradability, while auction flow is treated as a sentiment measure.
• The article cautions that the screen omits fundamentals and relies heavily on one flow indicator.
• It suggests adding intraday activity measures and company fundamentals, but reports no evaluation of those changes.
• No backtest results, position sizing, or execution rules are provided.

Tags

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