Chinese Stock Screen Using Turnover, Order Book Imbalance, and Price
Summary
This document describes a Chinese equity screen that selects listed main-board stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a latest price of 18.5 yuan. It presents turnover as a measure of trading activity and bid-side volume as a sign of demand, while treating the price level as a possible support point.
The article includes example query and Python snippets, but they do not establish that the screen predicts returns or provide backtest evidence. Its rationale is speculative: a fixed share price does not itself establish support, and displayed order-book size can change quickly. The article acknowledges reliance on market sentiment and short-term flows, and recommends adding technical and fundamental information plus valuation analysis before treating the screen as a complete selection method.
Key ideas
- The screen combines a 3%–12% turnover range with first-level bid volume greater than ask volume.
- It also requires the latest stock price to equal 18.5 yuan.
- The article interprets turnover as activity and bid-side size as potential demand.
- It offers no performance evidence, and flags sentiment and short-term flow risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.