Equity Screening by Turnover, Bid Ask Imbalance, and Stock Attention

Summary

This Chinese equity screening idea selects stocks with turnover between 3% and 12% and displayed best-bid volume greater than best-ask volume. Candidates are then ranked by an attention or activity measure, with the described final screen taking the top 50. The intended rationale is to favor actively traded stocks with stronger visible buying interest and higher market participation.

The document includes formula and Python examples, but it gives no backtest, validation, or return evidence. Its examples also use differing data fields and filters, and the Python section adds conditions beyond the stated core screen, so the implementations may not be equivalent. The note acknowledges that the approach omits fundamentals, technical context, and broader sentiment. It proposes adding such inputs, but does not define how to combine them or establish that doing so improves results.

Key ideas

• The core screen requires turnover between 3% and 12% and best-bid volume above best-ask volume.
• Eligible stocks are ranked by an attention or activity measure, with the top 50 selected.
• The proposed interpretation is that turnover and order-book imbalance proxy for activity and buying interest.
• The document offers no performance evidence, and its code examples differ in some filters and data fields.
• Fundamental, technical, and sentiment variables are suggested as possible additions.

Tags

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