Chinese Stock Screening by Turnover, Order-Book Imbalance, and Profitability
Summary
This stock screen selects companies with turnover between 3% and 12%, greater displayed volume at the best bid than at the best ask, market capitalization below 10 billion yuan, and no reported losses. It combines trading activity, a top-of-book supply and demand comparison, company size, and a basic profitability filter. The document presents the conditions as a screening rule rather than a complete entry, exit, or portfolio strategy.
The accompanying discussion says the screen may overlook other financial fundamentals and recommends adding financial and industry analysis, considering the macroeconomic environment, and using stop-loss or take-profit controls after selection. It provides no backtest, performance statistics, definition of the measurement period, or detail on how the order-book quantities are sampled. The conditions therefore describe a candidate-generation idea, not evidence that selected stocks will rise or that the screen is profitable. Results may also depend on how the platform defines turnover, market capitalization, and loss status.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt favors stocks where displayed best-bid volume exceeds best-ask volume.\nIt limits candidates to companies valued below 10 billion yuan with no reported losses.\nThe document advises adding fundamental, industry, and macroeconomic analysis.\nIt provides no backtest or performance evidence for the screen.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.