Chinese Equity Screening by Turnover, Bid Depth, and Company Type
Summary
This article describes a Chinese stock screen that selects shares with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a company classification of private enterprise or a “中字头” company. It then ranks qualifying names by turnover in descending order and takes the top 50. The post includes example screening logic and sample code, and suggests supplementing company type with factors such as industry leadership, volatility, and leverage.
No backtest, return series, or other performance evidence is provided. The article cautions that company classification alone does not establish business quality and recommends examining financial fundamentals. The sample code contains apparent inconsistencies between its data fields and stated filters, so it should not be assumed to implement the described rules correctly. Bid and ask quantities can also vary with market conditions; the post does not establish that this order-book imbalance predicts future returns.
Key ideas
- The screen filters for turnover between 3% and 12% and greater first-level bid than ask volume.
- It restricts candidates to specified company classifications, then ranks them by turnover and keeps 50.
- The article recommends considering additional business and financial factors.
- It provides no evidence that the screen produces positive returns.
- The sample code has inconsistencies that require review before use.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.