Stock Screening with Intraday Range, Turnover, and Auction Activity

Summary

This note describes a short-term Chinese equity screen using three measures of trading activity: an intraday high-low range above 1, turnover greater than 2% but below 9%, and prior-day auction turnover above 0.26. The proposed rationale is to identify stocks with notable price movement and sufficient market participation while avoiding the extremes of very low or high turnover.

The article discusses risks from relying on activity measures without company fundamentals, including event-driven distortions, excessive trading, and concentrated positions. It recommends adding valuation, technical, governance, and industry context, along with position and risk controls. Example formula and Python snippets are included, but the Python calculations appear to use volume and share data as turnover proxies and may not correspond directly to the stated auction measure. The note offers no backtest, evidence of predictive value, or validation of the thresholds, so the screen should be understood as a heuristic rather than a demonstrated strategy.

Key ideas

• The screen requires an intraday range above 1, turnover between 2% and 9%, and prior-day auction turnover above 0.26.\nThe conditions are intended to capture volatility and trading participation for short-term opportunities.\nThe article warns that activity-based screening omits financial and governance risks.\nIt recommends adding company, industry, and technical analysis, as well as position controls.\nThe examples do not clearly validate the stated auction-turnover condition, and no performance evidence is provided.

Tags

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