Screening Chinese Stocks by Turnover, Bid Depth, and Ownership Concentration

Summary

The document presents a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, displayed first-level bid volume greater than ask volume, and reported holder concentration below 20%. The candidates are then ranked by price change, with the top 50 selected. It supplies example query and Python implementations and describes the filters as proxies for trading activity, buying interest, and dispersed ownership.

The author cautions that the rule is simple and omits company fundamentals, macroeconomic conditions, and industry context; the sample may also be too small for stable selection. The proposed improvement is to add those broader factors. The examples refer to particular historical dates and data fields, and the Python section contains apparent inconsistencies between the stated bid/ask rule and some queried or filtered fields. No backtest results or evidence of future performance are supplied, so the selection rationale should be treated as a hypothesis rather than a demonstrated edge.

Key ideas

• The screen combines a 3%–12% turnover band, bid volume exceeding ask volume, and ownership concentration below 20%.
• It ranks qualifying stocks by price change and selects up to 50 names.
• The proposed rationale is to combine activity, order-book demand, and lower ownership concentration.
• The author recommends adding fundamental, macroeconomic, and industry filters.
• The examples use date-specific data and contain field inconsistencies, while no performance validation is reported.

Tags

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