Screening Chinese A-Shares by Turnover and Best-Level Order Imbalance

Summary

The proposed stock screen starts with Chinese A-shares, excludes Beijing-listed stocks, and selects shares whose turnover rate falls between 3% and 12%. It then requires first-level bid volume to exceed first-level ask volume, using displayed order-book quantities as a short-term indicator of buying pressure. The post also includes example formula and Python references for applying these filters.

The rationale is that stronger visible demand may help identify stocks suited to current market conditions, but the document provides no backtest, sample period, or measured returns to support that claim. It acknowledges that order imbalance can be temporary and that market volatility can create risk. It recommends combining the screen with company, industry, and financial analysis, and says to assess risk before investing. The screen is a candidate-selection rule, not a complete entry, exit, or position-sizing strategy.

Key ideas

• The screen filters for turnover between 3% and 12% and excludes Beijing-listed A-shares.
• A stock passes only when its first-level bid volume exceeds its first-level ask volume.
• The rule treats displayed order imbalance as a possible sign of near-term buying interest.
• The document gives no test results and cautions that the imbalance may be temporary.
• It recommends adding fundamental and industry analysis before making investment decisions.

Tags

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