Chinese Stock Selection by Turnover, Ten-Day Returns, and Order Imbalance

Summary

This note describes a short-term Chinese equity screen that selects stocks with turnover between 3% and 12%, a positive ten-day gain below 35%, and first-level buy volume greater than sell volume. The order-book condition is presented as a way to identify stocks with stronger current trading interest. The document includes example expressions for implementing the filters and a Python workflow that retrieves market data, calculates return and turnover measures, and sorts the selected stocks by gain.

The rationale is that elevated but bounded turnover and positive recent performance may capture active stocks, while buy-side volume exceeding sell-side volume may signal market enthusiasm. The note gives no backtest results or evidence that the conditions predict returns. It cautions that the screen ignores company fundamentals and recommends considering fundamentals, industry conditions, policy changes, and broader market information. The provided implementation details may not exactly match the stated signal: the sample data operations and field meanings require validation before use.

Key ideas

• The screen requires turnover between 3% and 12% and a positive ten-day return below 35%.\nIt also requires first-level buy volume to exceed first-level sell volume.\nThe document treats order imbalance as a proxy for current trading interest.\nThe screen omits fundamental analysis and may expose investors to company-specific risks.\nThe examples provide implementation guidance but no evidence of strategy performance.

Tags

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