Chinese Stock Screen Using Turnover, Top-of-Book Imbalance, and Code Prefix

Summary

This Chinese stock-selection post describes a screen requiring turnover between 3% and 12%, displayed first-level bid volume greater than ask volume, and a stock code beginning with 60. The author frames the criteria as combining trading activity, a visible order-book imbalance, and a code-based universe restriction. It restates the same conditions as the final selection rule.

The post provides no backtest, return figures, sample definition, timing convention, or evidence that the conditions predict future performance. It explicitly cautions that relying on the code prefix may omit relevant characteristics and suggests replacing that proxy with industry, concept, or regional attributes, while combining other factors or indicators such as market capitalization, valuation, MACD, or RSI. The excerpt offers a screening heuristic rather than a tested strategy; the bid and ask quantities are only a snapshot and may change before execution.

Key ideas

• The screen selects stocks with turnover from 3% to 12%, bid-one volume above ask-one volume, and codes beginning with 60.
• The rule combines a turnover condition, a displayed order-book imbalance, and a code-prefix filter.
• The post warns that the code prefix may be an incomplete proxy for relevant stock characteristics.
• It suggests considering industry or regional attributes and combining additional factors or indicators.
• No backtest or performance evidence is provided.

Tags

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