Screening Shanghai-Listed Stocks by Turnover and Auction Amount

Summary

This document describes a stock-selection rule for Chinese equities. It first limits candidates to stocks whose codes begin with 60 and whose turnover rate falls between 3% and 12%, then proposes choosing the five candidates with the highest amount traded in the day’s opening auction. The rationale is that turnover and auction activity may help identify actively traded stocks and narrow the search universe.

The article notes that liquidity can change with market conditions and that weaker sentiment may affect both trading activity and the usefulness of the screen. It suggests adjusting the selection size or timing and adding other indicators. A Python example is presented, but its implementation sorts a daily-basic turnover field rather than clearly ranking opening-auction amount, and it does not visibly apply the stated turnover band. The example therefore does not fully demonstrate the written rule. No backtest, performance results, or evidence of predictive value are provided.

Key ideas

• The screen restricts candidates to stocks with codes beginning with 60 and turnover between 3% and 12%.
• It proposes ranking eligible stocks by opening-auction amount and selecting the top five.
• The author frames turnover and auction activity as indicators of market activity and liquidity.
• Liquidity shifts and market sentiment may reduce the screen’s usefulness.
• The sample code does not clearly implement the stated auction-amount ranking or turnover range, and no performance evidence is shown.

Tags

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