Stock Screening with Turnover, Rising DEA, and Auction Order Flow

Summary

This Chinese stock-selection note combines a turnover range of 3% to 12% with a rising DEA trend condition and buying activity from large and extra-large orders during the opening auction. The order-flow filter requires those categories’ combined buying share to exceed 70%; the reference formulas also describe an auction volume threshold and a price-movement condition. The note includes indicator logic and Python-style implementation references, but it does not provide a backtest or performance evidence.

The proposed rationale is to pair active trading and an improving trend with evidence of concentrated buying. The author flags that the screen may exclude fundamentally attractive but less actively traded stocks, and that broad market conditions can undermine it. Suggested refinements include adding financial filters and testing price ranges or different observation times during the auction. The source’s code snippets are not fully consistent in how they define DEA and auction activity, so implementation details require checking before use.

Key ideas

• The screen looks for stocks with turnover between 3% and 12%.\nIt combines a rising DEA condition with opening-auction buying by large orders.\nThe stated order-flow condition requires large and extra-large order buying to exceed 70% of their combined volume.\nThe note offers no backtest evidence and warns that market conditions and omitted fundamentals can limit the screen.

Tags

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