Screening Stocks by Turnover and Opening-Auction Volume

Summary

This screen selects stocks based on the prior day’s turnover and the current day’s opening-auction volume. Its initial conditions require prior-day turnover above 0.5 and auction volume greater than the previous day’s volume; the text also includes a year filter for 2021. The proposed rationale is that stronger turnover and auction activity may signal greater market attention. A later list of final conditions adds price-to-earnings and price-to-book ceilings, bullish moving-average alignment, and a MACD bullish crossover.

The document supplies no backtest results or evidence that these activity measures predict returns. It acknowledges that turnover and auction volume can be distorted by sentiment or manipulation, and that past-year selection may not carry forward. The example code is incomplete and does not fully implement the later list of additional conditions, leaving the exact final screen uncertain. The stated refinements are suggestions rather than validated improvements.

Key ideas

• The initial screen combines prior-day turnover with opening-auction volume relative to the previous day.
• The document also names a 2021 year filter and later proposes valuation and technical filters.
• High trading activity is treated as a possible sign of market attention, not proof of investment value.
• Sentiment and manipulation can distort turnover and auction-volume readings.
• The example code is incomplete, and the document provides no performance evidence.

Tags

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