A-Share Screening with Turnover, Bid–Ask Volume, and Revenue Growth

Summary

This A-share stock screen combines three conditions: turnover between 3% and 12%, best bid volume greater than best ask volume, and revenue in 2021 more than 1.1 times revenue in 2018. The article provides a plain-language rationale and example formulas and Python snippets for filtering market, daily, and financial data. It also excludes companies identified as belonging to the Beijing exchange segment in its example logic.

The stated rationale is that revenue growth may indicate business expansion, stronger bid-side volume may reflect buying interest, and bounded turnover may help focus on liquid stocks. These are hypotheses rather than demonstrated findings: the article reports no backtest, performance statistics, or benchmark comparison. It cautions that revenue alone omits industry and company fundamentals and suggests combining the screen with further technical and fundamental checks. Data field definitions, timing alignment, survivorship effects, and execution assumptions are not evaluated, so the examples do not establish that the screen is profitable or robust.

Key ideas

• The screen requires turnover between 3% and 12% and best bid volume above best ask volume.
• It selects stocks whose 2021 revenue exceeds 1.1 times their 2018 revenue.
• The examples show ways to combine market, daily turnover, financial, and listing data.
• The article offers a rationale but provides no backtest or evidence of returns.
• Revenue growth and order-book volume alone may miss company, industry, and execution risks.

Tags

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