Screening Stocks by Turnover, Bid–Ask Depth, and Daily Return

Summary

This stock screen combines three conditions: turnover between 3% and 12%, first-level bid volume greater than ask volume, and a daily price change between -5% and 2.6%. The document presents turnover as a measure of trading activity, the order-book comparison as a sign of buying interest, and the return band as a way to avoid unusually large moves. It also gives example screening formulas and code references, but reports no backtest, performance statistics, or evidence that the signals predict returns.

The author cautions that the rules omit company fundamentals and industry prospects, and may produce a narrow selection. Suggested extensions include adding financial and industry data, combining factors, and adjusting thresholds for market conditions. These are general suggestions rather than tested improvements, so the screen should be treated as a candidate selection rule whose results require independent evaluation.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt selects stocks where first-level bid volume exceeds first-level ask volume.\nThe allowed daily return range is -5% to 2.6%.\nThe document provides no measured performance and notes that fundamentals and industry conditions are omitted.

Tags

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