Chinese Stock Screen Using Turnover, Bid–Ask Depth, and Afternoon Flows

Summary

This Chinese-language post outlines an equity screen that combines a turnover-rate range of 3% to 12%, first-level bid volume greater than ask volume, and positive afternoon large-order net inflow. It proposes taking the first 50 stocks that meet the conditions. The examples also show implementation ideas using market data, money-flow data, daily turnover, and filters for listed shares and selected sectors; the snippets refer to a particular historical trading date.

The post presents the combination as a way to find active stocks with buying interest, but it provides no backtest, benchmark, or evidence that the signals predict returns. Its own caveat is that the selection relies on quantitative indicators and money flow while omitting broader fundamental and technical context. It suggests adding valuation, indicator, and industry information, though it does not specify or validate an improved model. The differing data fields and date references in the examples also mean the logic would need careful checking before reuse.

Key ideas

• The proposed screen requires turnover between 3% and 12%.
• It also selects stocks whose best bid volume exceeds best ask volume and whose afternoon large-order flow is positive.
• The post proposes selecting the first 50 qualifying stocks and gives sample data-query approaches.
• It offers no return tests and notes that the screen omits other fundamental and technical information.

Tags

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