Screening Shanghai-Listed Stocks by Turnover and Auction Price Change

Summary

The screen selects mainland Chinese stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose auction price change lies between −2% and 5%. The article frames these as initial filters and suggests evaluating the selected stocks further with valuation measures such as dynamic price-to-earnings, price-to-book, and dividend yield, alongside stop-loss and take-profit rules.

The post warns that turnover and auction movement can reflect unusual short-term volatility and that relying heavily on the opening move may encourage short-term decisions without deeper analysis. It provides no backtest, performance figures, or evidence that the thresholds identify undervalued or high-quality stocks. Its sample Python approach also calculates price change from settlement and close data, which may not correspond cleanly to the stated auction-change filter, so the implementation would need verification before use.

Key ideas

• The screen combines a 60-prefixed stock code, a turnover rate of 3%–12%, and an auction price change from −2% to 5%.
• The article recommends adding valuation measures and explicit exit controls for further evaluation.
• Auction moves and turnover may capture temporary volatility and encourage overly short-term selection.
• The document supplies no backtest or evidence for the screening thresholds.

Tags

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