Screening Chinese Stocks by Turnover, Bid Size, and Share Price

Summary

This stock-selection screen combines turnover, order-book balance, and share price. It selects listed mainland Chinese stocks with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a latest price below 12 yuan. The article then ranks qualifying stocks by turnover, highest first, and proposes taking the first 50. Its discussion interprets turnover as a measure of trading activity and the bid-versus-ask comparison as a participation signal; the low-price filter is a price-level screen, not a valuation measure.

The article includes sample query and Python references, but they do not cleanly establish a reproducible implementation: the Python example adds an extra comparison involving market value, and its data calls and field usage may not match the stated screen. No historical performance evidence is supplied. The author notes that the rules omit fundamentals, technical context, and market sentiment, and suggests broadening analysis with company, flow, and market information.

Key ideas

• The screen requires turnover between 3% and 12%, bid volume above ask volume, and a share price below 12 yuan.
• Qualifying stocks are ranked by turnover in descending order, with up to 50 selected.
• The article frames turnover and order-book imbalance as activity and participation filters, while price is only a nominal price constraint.
• The code examples contain implementation details beyond or inconsistent with the stated selection logic.
• No backtest or performance evidence is provided, and the screen omits fundamental and broader market factors.

Tags

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