A Stock Screen Combining Turnover, Bid-Ask Size, and Large-Order Flow

Summary

This Chinese-language post proposes screening stocks using turnover, displayed best-level bid and ask volume, and large-order net inflow. Its final selection rule requires turnover between 3% and 15%, bid volume greater than ask volume, and large-order net inflow above 0.05 for at least three consecutive days. The post also gives sample query logic and Python-style data handling, including a rolling three-day average of large inflow and a selection capped at five stocks.

The article’s earlier description specifies a 3% to 12% turnover range, while its stated final rule and examples use 3% to 15%, an internal inconsistency that should be resolved before implementation. It warns that the screen omits fundamental data and that large-order flows do not necessarily predict price direction. It gives no backtest, return figures, or evidence that the thresholds improve selection accuracy, and notes that flow data and the resulting selections can be uncertain.

Key ideas

• The final screen uses turnover between 3% and 15% and requires best-level bid volume to exceed ask volume.
• It also requires large-order net inflow above 0.05 for at least three consecutive days.
• A sample implementation computes a rolling three-day average of large inflow.
• The post gives inconsistent turnover limits, with an earlier section stating 3% to 12%.
• The author warns that the screen omits fundamentals and that order flows may not predict price moves.

Tags

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