Screening Chinese Stocks by Turnover, Bid Depth, Volume, and Gap-Up
Summary
The document describes a China A-share screening rule that selects listed stocks with turnover between 3% and 12%, greater displayed buy-one than sell-one volume, current volume above 10,000 lots, and an opening price above the previous close. It frames these conditions as filters for trading activity, liquidity, buying interest, and short-term strength. Example query and Python references illustrate how the criteria might be combined, though the code includes inconsistent data-field and filter logic that would need checking before use.
The article warns that technical and short-term signals can misclassify stocks, favor volatile names, and omit fundamental information. It suggests combining the screen with financial measures such as profitability and growth, and considering periodic rebalancing or profit-taking. No performance results or empirical validation are provided, so the criteria should be treated as a proposed selection heuristic rather than an established profitable strategy.
Key ideas
- The screen requires turnover between 3% and 12%, with the bounds treated as strict in the example query.
- It selects stocks where displayed best-bid volume exceeds best-ask volume and current volume exceeds 10,000 lots.
- A gap-up open above the prior close is used as an additional short-term strength condition.
- The article recommends adding fundamental filters and risk controls, but provides no backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.