Selecting 2021-Listed Chinese Stocks by Turnover and Auction Value
Summary
The document describes a Chinese stock selection screen that filters for a turnover rate between 3% and 12% and a listing year of 2021, then ranks candidates by the current day’s auction amount. It selects up to five names from the top of that ranking. The accompanying Python example outlines retrieving a stock list and price data, sorting by amount, and applying turnover and listing-year conditions.
The rationale offered is that turnover and listing age define the universe, while higher auction value may indicate greater market attention. The article does not provide performance results, a backtest, or evidence that auction value predicts returns. It also warns that the screen omits company fundamentals and may be exposed to shifts in market sentiment and style. Its sample code is illustrative and depends on market data fields and calculations that would need validation before use.
Key ideas
- The screen restricts candidates to stocks listed in 2021 with turnover between 3% and 12%.\nIt ranks qualifying candidates by current-day auction amount and chooses up to five.\nThe article interprets high auction amount as a possible sign of market attention.\nIt cautions that the rules omit company fundamentals and may be vulnerable to sentiment and style changes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.