Screening Stocks by Recent Returns and Opening Auction Volume

Summary

This Chinese equity screen pairs a positive but capped ten-day return with a measure of trading activity: yesterday’s turnover rate multiplied by the ratio of today’s auction volume to yesterday’s volume. The post describes sorting by this activity measure and keeping values above 0.5 and below 2, with the intention of finding stocks that have participation without excessive activity. The ten-day return filter is described as excluding both declining stocks and those that have already risen too far.

The author notes that this activity proxy may be inaccurate and that recent returns can be shaped by market conditions or policy. Suggested refinements include other volume measures and filters for company size or industry. No backtest, sample, or evidence of predictive power is given, and the final logic omits the ten-day return condition stated earlier. The screen should therefore be treated as an informal hypothesis; definitions, units, timing, and data availability need to be checked before testing or use.

Key ideas

• The proposed activity score multiplies yesterday’s turnover rate by the ratio of auction volume to the prior day’s volume.
• The suggested score range is above 0.5 and below 2.
• The initial screen also limits the ten-day return to gains greater than zero and less than 35 percent.
• The post cautions that the activity proxy and return cap may not fit all market conditions.
• The final stated logic leaves out the ten-day return filter, and no performance evidence is provided.

Tags

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