Screening Main Board Stocks with Turnover, Relative Gains, and Order Imbalance

Summary

This stock-selection outline screens main-board shares using a turnover range, a positive daily price move relative to a comparison market, and buy-side quantity at the best quote exceeding sell-side quantity. The post then revises the final condition to positive market depth, presenting the combined filters as a way to find liquid shares with recent upward movement and demand imbalance. It includes example indicator logic and a Python sketch for retrieving stock data and applying filters.

The rationale is that turnover indicates activity, price strength captures short-term momentum, and order-book imbalance may reflect buying pressure. The author cautions that the rules omit company fundamentals and that a gain may reflect temporary sentiment rather than underlying value. The text suggests broader depth measures and fundamental data as possible additions. It supplies no backtest, transaction-cost analysis, execution rules, or evidence that the screen predicts returns; implementation details in the example should also be checked against the data fields and comparisons actually available.

Key ideas

• The screen combines turnover, a daily gain filter, and a measure of buying versus selling pressure.
• The final stated rule uses positive market depth as its order-flow condition.
• The proposed rationale links these filters to liquidity, recent strength, and demand imbalance.
• The post warns that short-term sentiment and missing fundamental analysis create risks.
• No backtest or evidence of profitability is provided.

Tags

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