Selecting A-Shares by Turnover, Rising DEA, and Auction Activity

Summary

This stock screen targets A-shares with turnover between 3% and 12% and a rising DEA signal, then ranks candidates by the day’s auction amount and selects five. The article presents the screen as a way to combine trading activity, a trend-related indicator, and auction participation. Its formula reference and Python example offer implementation sketches, though the formula’s auction condition and ranking description are not fully consistent about how the bid field is used.

The post argues that auction-based ranking may favor liquid, popular stocks and warns that this can leave smaller growth companies out of the selection. It suggests adding fundamental checks such as valuation and profitability measures, considering other capital-flow information, and limiting concentration or exposure to noncompliant stocks. No backtest, performance figures, or evidence that the screen predicts returns is provided, so the selection logic should be treated as a proposed filter rather than a demonstrated strategy.

Key ideas

• The screen requires A-share turnover between 3% and 12% and a rising DEA signal.
• Candidates are ranked using the day’s auction amount, with five stocks selected.
• The article warns that auction activity may favor liquid large-cap stocks over smaller growth companies.
• It proposes adding fundamental filters and risk controls, but 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.