Chinese Stock Screening with Turnover, Order-Book Imbalance, and ROE

Summary

This Chinese stock-screening proposal combines a turnover band of 3% to 12%, first-level bid volume exceeding ask volume, and return on equity above 15% for each of five consecutive years. It presents the criteria as a way to find profitable companies with trading activity and apparent buying pressure. The note explains the intended rationale but provides no historical test, performance figures, or implementation beyond restating the screen.

The author cautions that the approach omits technical and other market factors, and that unusually high ROE can reflect unreliable financial reporting. Suggested refinements include adding valuation measures such as price-to-earnings or price-to-book ratios, along with technical and sentiment analysis. These additions are proposals rather than tested improvements. The document supplies no formula code or Python implementation, so details such as how bid and ask volume are measured, how annual ROE is aligned with selection dates, and how screened stocks would be weighted or traded remain unspecified.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt selects stocks whose best bid volume exceeds their best ask volume.\nIt requires ROE above 15% for five consecutive years.\nThe note warns that high ROE may be affected by financial reporting problems.\nValuation, technical, and sentiment measures are suggested as possible additions.

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