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Screening Stocks by Turnover, Rising DEA, and Positive Auction Net Buying

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Summary

This document presents an A-share selection rule combining turnover between 3% and 12%, a rising DEA indicator, and positive net buying by major participants during the opening auction. It includes formula and Python examples for screening stocks. The accompanying explanation treats turnover as a liquidity filter, rising DEA as a trend condition, and auction net buying as a sign of demand.

The post gives no backtest or performance evidence. It cautions that a single positive auction net-buying reading may exclude stocks where net buying is improving but remains negative, and that short-term market fluctuations can make the screen unstable. It suggests treating the auction measure as one input among broader technical and fundamental checks. The formula examples use different definitions of the DEA condition, so implementation details may not align exactly across the examples.

Key ideas

  • The screen requires turnover from 3% to 12%, rising DEA, and positive net buying in the opening auction.
  • The proposed factors represent liquidity, trend, and auction demand, respectively.
  • The post warns that a positive-only auction threshold can miss improving stocks with negative readings.
  • No backtest results are provided, and the formula and Python examples differ in how they express DEA.

Tags

EquitiesChina marketsTechnical indicatorsMarket microstructure

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