Screening Metaverse Stocks by Turnover and Order Book Imbalance

Summary

The document describes a Chinese equity screen combining three conditions: turnover between 3% and 12%, bid-side first-level volume greater than ask-side volume, and an association with the metaverse concept. It presents the conditions as a way to focus on actively traded stocks with apparent near-touch buying interest in a specific thematic group. It also includes example platform formulas and a Python-oriented selection outline, though the code examples do not consistently implement the stated screen.

The author cautions that the approach depends on continued market interest in the metaverse, a loosely defined and uncertain theme. The document suggests adding valuation measures such as price-to-earnings or price-to-book ratios, or using machine-learning methods to refine selection. It offers no backtest, performance evidence, or detailed rules for measuring the theme association, maintaining the screen, or managing positions, so the proposed criteria remain an unvalidated stock-selection idea.

Key ideas

• The screen selects metaverse-related stocks with turnover from 3% to 12%.\nIt requires first-level bid volume to exceed first-level ask volume.\nThe thematic focus may lose effectiveness if investor interest in the metaverse fades.\nThe document proposes adding valuation factors or more advanced models but provides no performance testing.

Tags

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