Filtering Chinese Stocks by Turnover, Top-of-Book Imbalance, and Board

Summary

This post describes a Chinese equity screen that requires turnover between 3% and 12%, displayed best-bid volume greater than best-ask volume, and exclusion of stocks classified as belonging to the STAR Market. It provides formula-style conditions and a Python example that combines market-detail, daily turnover, and listing information to form the candidate list.

The rationale offered is that the turnover band selects moderately active shares, while greater displayed buying volume than selling volume is interpreted as near-term buying pressure. The document does not provide a backtest, execution rules, or performance evidence, and the top-of-book comparison is only a snapshot that may change quickly. The post notes that the filters focus on trading activity and board classification, leaving fundamentals unexamined. It suggests adding indicators such as KDJ or RSI and applying industry filters, but does not evaluate whether those additions improve results.

Key ideas

• The screen requires turnover in the stated 3% to 12% range and greater best-bid than best-ask volume.
• Stocks categorized as belonging to the STAR Market are excluded.
• The post interprets turnover as activity and top-of-book volume imbalance as buying pressure.
• The document provides implementation examples but no tested performance evidence.
• Fundamental analysis and additional indicators or industry filters are suggested as possible extensions.

Tags

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