A-Share Screen Using Turnover, Bid-Ask Depth, and Dividend Ratio

Summary

This A-share stock screen combines activity, order-book, and dividend filters. It selects shares with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a 2019 dividend ratio above 25%, then proposes taking the first ten qualifying names. The article characterizes the combination as a way to consider trading activity, market participation, and dividend potential together.

The post warns that relying on a single year's dividend ratio may produce selection bias and recommends considering several years of payouts alongside broader financial statements. It supplies illustrative query and Python examples, but no backtest, return or risk statistics, ranking rationale, or evidence that the filters forecast performance. The order-book imbalance is a point-in-time market measure, while the dividend screen is tied to a historical reporting period; practical use would need clearly aligned timestamps and verified data definitions. The rules therefore describe a candidate screening recipe, not a validated investment strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks where first-level bid volume exceeds first-level ask volume.
• It requires a 2019 dividend ratio above 25% and proposes selecting ten names.
• The article cautions that a single year's dividend data can bias selection.
• It recommends incorporating multi-year dividends and company financial statements, but provides no performance evidence.

Tags

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