Chinese Stock Screen Using Turnover, Bid Depth, and Positive Valuation

Summary

The document describes a Chinese equities screening rule that selects stocks with turnover between 3% and 12%, greater volume at the best bid than at the best ask, and a positive price-to-earnings ratio. It presents the screen as a way to combine trading activity, order book demand, and a basic valuation filter, then limits the selected list to 50 stocks. Reference implementations are shown for a stock screener and Python workflow, with universe restrictions also appearing in the sample query.

The author notes that the rule uses only a few indicators and can miss information from technical analysis, market sentiment, and other company or market data. Suggested extensions include financial statement measures, news, money flows, and data-driven modeling. The document provides no performance results, validation method, or evidence that the screen predicts returns. Its code examples also use differing data fields and dates, so implementation details would need checking before use; the stated selection criteria alone do not establish profitability or suitability for live trading.

Key ideas

• The screen requires turnover between 3% and 12%, best-bid volume above best-ask volume, and positive earnings valuation.
• The described process returns up to 50 stocks that pass its filters.
• The rule combines trading activity, order book information, and a simple fundamental condition.
• The document gives no backtest or evidence of predictive performance.
• It suggests adding further fundamental, technical, news, and flow variables, while noting that the current screen has blind spots.

Tags

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