Screening Chinese Mainboard Stocks by Turnover, Order Book, and Daily Gain

Summary

This stock-selection rule targets mainland Chinese mainboard equities with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a daily gain above 1%. The proposed screen combines a turnover range intended to capture actively traded shares with an order-book imbalance and positive price movement. The article includes illustrative formula and Python references for filtering and combining these conditions.

The post argues that the screen brings liquidity and short-term price behavior into the selection process, while acknowledging that it omits broader inputs such as industry conditions, market direction, and company fundamentals. It suggests adding factors such as market capitalization and financial data, or using machine-learning methods, but provides no tested results or evidence that these additions improve performance. The code examples also rely on particular data fields and sample dates, so implementation would require checking data availability, definitions, and timing to avoid look-ahead or stale-data issues. The screen is a candidate-generation rule, not a complete portfolio or trading plan.

Key ideas

• The screen requires turnover between 3% and 12% and daily appreciation above 1%.
• It selects shares whose best bid volume exceeds the best ask volume.
• The intended universe is mainland Chinese mainboard stocks.
• The article recognizes that market, industry, and fundamental conditions are omitted.
• No backtest or evidence of trading performance is presented.

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