Stock Screening with Turnover, Rising DEA, and Auction Volume

Summary

This Chinese A-share screening note combines a turnover range of 3% to 12% with a rising DEA signal and a condition on opening auction activity. The auction measure compares yesterday’s turnover, today’s auction volume, and yesterday’s volume; the stated ratio must fall between 0.5 and 2. The note also provides indicator and Python examples for implementing the screen.

The rationale is to combine liquidity, short-term trend, and auction behavior. It warns that opening activity can select volatile stocks and that the screen omits fundamentals and broader market conditions. It suggests adding other trend, volatility, and company measures, but gives no backtest results or evidence that the proposed screen is profitable. The indicator example appears to use moving-average differences to represent DEA, so its calculation should be checked against the intended definition before use.

Key ideas

• The screen selects stocks with turnover between 3% and 12%.
• It requires the DEA indicator to be rising.
• An opening auction activity ratio must lie between 0.5 and 2.
• The author cautions that auction-based signals can increase volatility and that fundamental and market factors are omitted.

Tags

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