A Chinese Stock Screen for Turnover, Order-Book Imbalance, and Early Limit-Ups

Summary

The proposed Chinese equities screen filters for non-ST stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a limit-up event before 10 a.m. It aims to select five qualifying stocks. The post includes both a database-style query and a Python example that joins market detail, basic listing, limit-list, and daily turnover data. It also mentions adding company financial statements and industry data as possible refinements.

The article offers selection rules and illustrative implementation references, but no backtest, out-of-sample evaluation, or evidence of returns. Its stated risk is that the filters omit other factors affecting stock performance. The examples also rely on a specific trade date and data-provider fields, and the code's ranking and timing steps do not clearly demonstrate that the final output consistently implements every stated condition. Results would depend on data quality, execution timing, and market rules.

Key ideas

• The screen combines a turnover range, first-level bid-versus-ask volume, and non-ST status.
• It seeks stocks that reached limit-up before 10 a.m. and selects five candidates.
• The post supplies query and Python implementation examples using Chinese market data.
• The author suggests incorporating financial and industry information as potential refinements.
• No performance tests are reported, and the examples may not fully align with the described screening logic.

Tags

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