Filtering Chinese Stocks by Turnover, Bid Depth, and Market Capitalization

Summary

This stock screen selects listed Chinese main-board shares with turnover between 3% and 12%, first-level bid volume greater than ask volume, and market capitalization above 200 million yuan. It then ranks qualifying shares by market capitalization and takes the largest 50. The stated rationale combines trading activity, visible order-book demand, and company size.

The document includes example formulas and Python-style implementation guidance, but the examples are inconsistent: the code appears to use different dates and fields, and one section adds conditions that do not match the stated screen. No backtest results or evidence of predictive performance are provided. The author notes that a size threshold may exclude smaller growth companies and that the screen omits company fundamentals; industry, profitability, growth, valuation, and market conditions are suggested as possible additions.

Key ideas

• The screen requires turnover between 3% and 12%, with first-level bid volume exceeding ask volume.
• It excludes stocks below a stated market-capitalization threshold and ranks remaining names by size.
• The document provides formula and Python examples, but some implementation details do not align with the described rules.
• The author identifies missing fundamental and industry analysis as limitations.

Tags

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