Screening Chinese Stocks by Turnover, Bid Depth, and Recent Highs
Summary
The document describes a Chinese equity screen combining turnover, order-book depth, and recent price highs. It selects stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a current high at least as high as the maximum high over the prior two sessions. It also excludes the STAR Market. The article supplies example indicator logic and Python data steps for applying these conditions.
The rationale is to combine moderate trading activity with a bullish order-book imbalance and a short-term high-price signal. No backtest, performance figures, or empirical evidence are provided. The article cautions that the screen is narrow and may select volatile stocks; it suggests adding indicators such as KD or RSI and industry or broad-market filters. The order-book and historical-high conditions are screening signals, not evidence that prices will continue rising.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt favors stocks whose best bid volume exceeds their best ask volume.\nIt selects stocks making a high at least equal to the maximum of the preceding two sessions.\nIt excludes STAR Market listings and offers no backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.