Selecting Main Board Stocks by Turnover, Float Value, and Auction Amount

Summary

This stock selection rule screens main board equities for a turnover rate between 3% and 12% and a circulating market value between 5 billion and 10 billion yuan. From the stocks that pass both filters, it ranks by the day’s auction amount in descending order and selects the top five. The document presents this as a simple way to combine liquidity conditions with premarket auction activity, and gives formula and Python examples for applying the filters and ranking.

The author cautions that the rule relies on liquidity and auction data without substantial technical or fundamental analysis. It may therefore overlook important company characteristics and produce imprecise selections. Suggested additions include valuation or growth measures and ownership or float considerations. No backtest results, holding period, entry or exit rules, transaction costs, or risk controls are supplied, so the selection rule alone does not establish a profitable strategy.

Key ideas

• The screen restricts selection to main board stocks within specified turnover and circulating value bands.
• Eligible stocks are ranked by that day’s auction amount, and the top five are chosen.
• The rule uses liquidity and auction activity without substantial fundamental or technical inputs.
• The author suggests adding valuation, company, and ownership measures to refine the screen.
• No backtest or trading and risk management rules are provided.

Tags

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