A-Share Screening by Turnover, Ask-Bid Size, and Region

Summary

This note describes an A-share stock screen using three conditions: turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and exclusion of Beijing-listed shares. The conditions combine a trading-activity measure with a simple order-book imbalance, then apply a geographic filter. The note proposes the screen as a way to identify active stocks, but it does not provide backtest results, performance data, or evidence that the filters predict returns.

It flags the omission of company fundamentals and the possibility of missing suitable stocks because of the regional exclusion. It suggests adding financial and industry criteria and applying profit-taking and stop-loss controls after selection. The article's final wording broadens the exclusion to Beijing and surrounding areas, which differs from its initial description of excluding Beijing A-shares. No implementation code or precise definition of the regional filter is supplied, so the rules would need clarification before they could be tested consistently.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks whose best bid volume exceeds their best ask volume.
• The stated screen excludes Beijing A-shares, while its final version also mentions surrounding areas.
• The note recommends adding fundamental filters and risk controls.
• No backtest evidence is provided for the selection rules.

Tags

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