A-Share Screening with Turnover, Large-Order Flow, and Bid-Ask Balance

Summary

This A-share stock screen combines three conditions: turnover between 3% and 12%, a positive product of the day’s price change and the net amount attributed to very large orders, and first-level bid volume greater than first-level ask volume. The accompanying examples express the filters in platform formulas and Python, selecting stocks that meet them on the latest observation. The article interprets the turnover range as a way to find active shares and the order-book comparison as an added buy-side signal.

The document gives no backtest, return figures, benchmark, or evidence that the filters predict future performance. Its rationale is qualitative, and it acknowledges that relying on trading and order-book information alone can create selection bias. It suggests adding factors such as market capitalization, growth, and risk, but does not specify how to combine them or evaluate the resulting portfolio. The screen is a candidate-selection rule, not a complete strategy with entry timing, exits, position sizing, or risk controls.

Key ideas

• The screen limits candidates to stocks with turnover between 3% and 12%.
• It requires the product of daily price change and very-large-order net amount to be positive.
• It adds a condition that first-level bid volume exceed first-level ask volume.
• The article offers no performance test and warns that the selection relies on a narrow set of inputs.

Tags

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