Stock Screening by Turnover, Listing Year, and Auction Buying Pressure

Summary

This article presents a Chinese stock screen using three criteria: turnover between 3% and 12%, a 2021 listing year, and positive auction buying pressure from large or extra-large orders above a stated threshold. It interprets turnover as a liquidity filter and large order activity as a possible sign of trading interest that could move prices. The document includes platform-specific screening logic and a Python example for collecting stock and transaction data.

No backtest, return analysis, or evidence of predictive value is reported. The author notes that large auction orders may reflect temporary speculation, that this narrow filter can miss other candidates, and that it does not remove broader market risk. Suggestions include adding volume or market capitalization filters and tracking order flow more promptly. The sample implementation's fields and transaction timing need verification against the intended auction-based rule before practical use.

Key ideas

• The screen filters stocks by a stated turnover band, listing year, and large-order buying activity.
• Turnover is used as a liquidity criterion, while large orders are treated as a possible indicator of market interest.
• The article provides screening logic and a data collection example but no performance evidence.
• Auction order flow may be temporary or speculative and can produce false signals.
• The code's data fields and timing should be checked to ensure they implement the intended auction condition.

Tags

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