A-Share Screen Combining Turnover, Company Profitability, and Order-Book Volume

Summary

This note proposes screening A-shares for turnover between 3% and 12%, market capitalization below 10 billion yuan, and positive earnings, then retaining stocks where displayed best-bid volume exceeds best-ask volume. The suggested ranking is by market capitalization. The accompanying example describes filtering out ST-designated shares, checking turnover and market value, reviewing earnings per share over recent reporting periods, and comparing top-of-book volumes.

The author interprets stronger bid than ask volume as a possible sign of demand, while noting it could also reflect trading by influential market participants. A single order-book snapshot can be misleading, and the screen may omit important company and industry context. The note recommends quantifying the bid-to-ask volume relationship and combining it with financial and industry analysis. It offers no backtest or evidence that the conditions predict returns. Some code details, including data fields and the stated turnover thresholds, may not consistently match the screening formula, so implementation would need verification.

Key ideas

• The proposed screen combines turnover, market capitalization, positive earnings, and top-of-book volume.
• Stocks qualify when displayed best-bid volume exceeds best-ask volume.
• The note suggests adding financial and industry analysis to the order-book signal.
• A single order-book observation may be misleading, and the document reports no strategy performance.
• The formula and example contain details that may require implementation checks.

Tags

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