Chinese Stock Screening by Turnover, Bid Size, and Opening Gain

Summary

This document describes a Chinese equity selection screen combining turnover, order-book size, and early-session price movement. It selects listed main-board stocks with turnover between 3% and 12%, greater size at the best bid than at the best ask, and a price rise below 6% during the specified opening interval. The examples also include liquidity and market-capitalization filters, with sample implementations in query syntax and Python.

The rationale is that turnover and bid-side depth may indicate liquidity and buying interest, while limiting the opening gain may avoid stocks that have already become overheated. The article acknowledges that this short-term, heat-focused screen overlooks longer-term fundamentals and that timing or reference-price mismatches may affect returns. It offers no backtest results or performance evidence, and the sample code contains data-field inconsistencies that would need validation before use.

Key ideas

• The screen combines a turnover band with greater best-bid size than best-ask size.
• It excludes stocks whose opening-period gain reaches the stated upper threshold.
• The article also gives liquidity, market, and capitalization filters in sample implementations.
• The approach emphasizes short-term trading conditions and does not assess long-term company fundamentals.
• No performance results are supplied, and the example data fields require checking before implementation.

Tags

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