Chinese Stock Screening by Turnover, Best-Level Bid Volume, and Control Ratio
Summary
This post proposes selecting stocks whose turnover lies between 3% and 12%, whose best-level bid volume exceeds best-level ask volume, and whose daily control measure is above 21. The author interprets the turnover band as a way to seek adequate liquidity and the bid-volume and control conditions as signs of buying interest and a high proportion of profitable positions.
No formula implementation, Python code, backtest, performance figures, or sample results are provided. The post cautions that the screen relies heavily on technical and market-state measures while omitting fundamentals, and that chasing limit-up candidates can be risky. It suggests supplementing the conditions with indicators such as RSI or MACD, fundamental information, and broader trend assessment, while monitoring sentiment reversals. The rules specify candidate selection only; they do not define execution, holding period, exits, position sizing, or portfolio-level risk controls.
Key ideas
- The proposed screen combines a turnover range with stronger best-level bid volume and a daily control threshold.
- The author treats these conditions as proxies for liquidity and buying interest, without presenting validation.
- The post warns that the rules omit fundamentals and may encourage risky pursuit of sharp price rises.
- It suggests adding trend, technical, and fundamental filters and watching for changes in sentiment.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.