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Screening Beverage and Alcohol Stocks by Turnover and Order Book Imbalance

Code Stratmill research code

Summary

This stock-screening note selects companies in the beverage and alcohol import-export industry, requiring daily turnover between 3% and 12% and displayed best-bid volume greater than best-ask volume. It characterizes the turnover range as a liquidity filter and the bid-versus-ask comparison as a way to capture near-term buying pressure. The document includes example formula and data-query logic, but supplies no backtest or evidence that the criteria predict returns.

The author notes that the screen considers industry and trading activity while omitting company fundamentals and other broader influences. Suggested extensions include market capitalization, profitability, growth, policy conditions, and industry trends. The order-book comparison is a snapshot-style signal, and the note does not specify how to handle changes during the trading day, execution costs, or position management. Its simple selection criteria should therefore be treated as a screening concept rather than a validated trading strategy.

Key ideas

  • The screen targets beverage and alcohol import-export stocks.
  • It requires turnover within a stated range and best-bid volume greater than best-ask volume.
  • The note treats these criteria as liquidity and buying-pressure filters but gives no performance evidence.
  • It identifies the omission of fundamentals and broader market or industry factors as a limitation.
  • Suggested additions include company financial measures and policy or industry context.

Tags

EquitiesChina marketsMarket microstructureExecution

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