A Stock Screen Using Turnover, Bid-Ask Size, and Auction Amount
Summary
The document describes a Chinese equities screening rule: keep stocks with turnover between 3% and 12%, require first-level bid volume to exceed first-level ask volume, rank candidates by the day's auction amount, and select the top five. It presents the screen as a way to combine trading activity, visible order-book demand, and auction value. Example SQL-like and Python references illustrate filtering and ranking, though the Python data joins and field handling are not explained in depth.
The post acknowledges that the rule is simple and omits fundamental measures. It also says frequent turnover-based rebalancing can raise trading costs, and suggests adding fundamental indicators, using historical prediction models, or setting a rebalance interval. No backtest results or evidence of profitability are supplied, and the auction ranking, data timing, and implementation details would need validation before use.
Key ideas
- The screen selects stocks with turnover between 3% and 12% and greater first-level bid volume than ask volume.
- Eligible stocks are ranked by the day's auction amount, with the top five selected.
- The rule focuses on trading and order-book measures and does not include fundamental analysis.
- Frequent rebalancing may increase transaction costs, while the post 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.