Stock Screening with Turnover, Ten-Day Gains, and Auction Net Buying

Summary

This document presents a Chinese stock screen combining turnover between 3% and 12%, a positive ten-day price move below 35%, and positive net buying in the opening auction. The proposed factors represent trading activity, recent price direction, and an imbalance favoring buy orders. A technical-indicator example also filters for main-board stocks and a rising ten-day moving average, while the Python example ranks candidates by price relative to that average.

The material supplies implementation sketches rather than a tested strategy: it gives no backtest, benchmark, or performance evidence. Its code uses a single historical date for daily and auction data, and some described conditions do not align cleanly with the stated ten-day gain rule. The author notes that market conditions, company fundamentals, and policy developments remain outside the screen, and recommends adding quantitative and fundamental analysis. The selection criteria should therefore be treated as a candidate-generation method, not proof of durable returns.

Key ideas

• The screen combines turnover from 3% to 12%, a positive ten-day gain below 35%, and positive auction net buying.
• The indicator example adds a rising ten-day moving average and a main-board filter.
• The Python example ranks candidates by price relative to the ten-day average.
• No backtest or performance evidence is provided, and the sample code has limitations.
• Fundamental, policy, and changing market risks remain outside the screening rules.

Tags

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