Screening Shanghai-Listed Stocks by Turnover and Auction Net Buying

Summary

This stock-selection rule filters for shares whose codes begin with 60, whose turnover is between 3% and 12%, and whose auction-period main-force net buying is positive. The document frames positive net buying as a sign of incoming funds and suggests that the screen may identify stocks attracting recent interest. It also includes a code example that retrieves stock and money-flow data, though the example checks summed small-order buy volume and does not clearly implement all stated filters.

The source cautions that a money-flow-focused screen can overlook company fundamentals, valuation, and longer-term direction, leaving it exposed to market reversals. It recommends combining flow data with technical and fundamental measures and flows over different time periods. No backtest, performance results, or evidence that the selection predicts future returns is provided, so the rule is best understood as a screening idea rather than a validated strategy.

Key ideas

• The screen selects stocks with codes beginning with 60 and turnover between 3% and 12%.
• It requires positive main-force net buying during the auction period.
• The rule emphasizes short-term fund flows and may omit fundamentals, valuation, and longer-term trends.
• The accompanying code example does not clearly match every condition in the written rule.
• The document proposes combining flow signals with technical and fundamental measures.

Tags

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