Screening Metaverse Stocks by Turnover and Buy-Sell Volume Imbalance

Summary

The document describes a Chinese A-share screening rule for stocks classified in the metaverse theme. It selects names whose prior-day turnover exceeds 8% and whose external-to-internal trading volume ratio is above 1.3. The text also shows corresponding screening expressions and a Python example intended to retrieve sector, quote, and historical data.

The rationale is that high turnover and a greater share of externally classified trades may identify active buying interest. The document cautions that the screen omits company fundamentals, that the volume ratio is subjective and may differ across securities or exchanges, and that changing liquidity can affect its usefulness. It suggests adding fundamental measures and other market indicators, then applying investment discipline. No backtest, performance figures, or validation of the example implementation is provided, so the rule should be treated as a screening idea rather than evidence of an effective strategy.

Key ideas

• The screen combines metaverse classification with prior-day turnover above 8% and an external-to-internal volume ratio above 1.3.
• The proposed rationale is to find actively traded stocks with signs of buying pressure.
• The document warns that the rule omits fundamental analysis and may be sensitive to differences in liquidity and trading conventions.
• It proposes adding fundamental and market-flow measures, but provides no performance validation.

Tags

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