Chinese Stock Screening by Turnover, Listing Year, and Order Book Imbalance

Summary

This stock screen selects Chinese equities with turnover between 3% and 12%, a 2021 listing year, and displayed best bid volume greater than best ask volume. The accompanying discussion frames turnover as a measure of trading activity and the bid-versus-ask size comparison as an additional order-book filter. It also includes example implementation references, but no historical portfolio results or evidence that the screen predicts returns.

The article cautions that displayed bid size alone does not prove that buyers control the market. The screen may omit market direction, macroeconomic conditions, liquidity, and other price drivers. It suggests examining additional market and volume measures and applying risk controls. The method is a set of screening conditions rather than a fully specified trading strategy: it does not define portfolio construction, entry and exit timing, or risk sizing, and the order-book observation may change quickly.

Key ideas

• The screen requires turnover between 3% and 12% and a listing year of 2021.
• It adds a condition that best bid volume exceeds best ask volume.
• The article treats turnover as a proxy for activity, not as a complete measure of investment quality.
• A larger displayed bid than ask does not by itself establish buying pressure or predict price direction.
• The screen omits broader market factors and does not specify portfolio rules or risk sizing.

Tags

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