Screening Stocks by Turnover, Three Down Days, and Auction Turnover

Summary

This Chinese stock-screening note describes selecting shares with daily turnover between 3% and 12%, three consecutive declining sessions, and prior-day opening-auction turnover above 0.26. The proposed idea combines a recent price weakness pattern with turnover measures in search of stocks that may rebound. It also sketches a Python implementation using historical stock data, though the code’s field handling and definitions are not fully explained, so it should not be treated as a validated implementation.

The note provides no backtest, performance figures, or evidence that the screen predicts gains. It explicitly cautions that a single day of auction turnover can be noisy and that short-term turnover measures may be less informative for thinly traded stocks. It suggests adding market-cap, industry, and fundamental filters, or adjusting thresholds. The selection logic is therefore a simple hypothesis for further testing, with no stated entry, exit, or risk-management rules.

Key ideas

• The screen combines turnover between 3% and 12% with three declining sessions.
• It also requires prior-day opening-auction turnover above 0.26.
• The note offers no performance evidence or complete trading rules.
• Single-day auction turnover may be noisy, especially for less liquid shares.
• Market, industry, and fundamental filters are suggested as possible refinements.

Tags

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