Stock Screening by Turnover, Buy-Sell Volume Imbalance, and Auction Activity

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, outside volume more than 1.3 times inside volume, and prior-day auction turnover above 0.26. The article presents these conditions as a way to capture active trading while imposing a liquidity-related filter. It includes example formula and Python-style implementations, with the latter ranking selected names by a weight based on average turnover, volume, and closing price.

The document offers no backtest results or measured evidence that the filters predict returns. It warns that the rule relies heavily on technical and short-term activity measures, neglects company fundamentals, and may misread unusually high auction activity. The examples are not fully consistent: the stated auction-turnover threshold and code calculations differ in form, and the code adds a volume-spike condition not included in the stated final rule. Data definitions and calculations therefore need checking before the screen is used.

Key ideas

• The stated screen combines 3% to 12% turnover, an outside-to-inside volume ratio above 1.3, and prior-day auction turnover above 0.26.
• The article frames these filters as measures of trading activity and liquidity conditions.
• Its Python example adds a recent volume-spike condition and ranks selections using a separate weight.
• The approach may overemphasize short-term technical activity and omit fundamental factors.
• No backtest or performance evidence is provided, and the examples use inconsistent calculations.

Tags

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