Screening Stocks by Turnover, Bid-Ask Depth, and Relative Volume

Summary

This document presents a short-term Chinese stock selection rule based on three market activity measures: turnover between 3% and 12%, first-level bid volume greater than ask volume, and a volume ratio between 1.5 and 6. It frames the turnover and order-book conditions as signs of trading activity and uses the volume-ratio range to avoid shares with unusually low or high relative volume.

The document includes sample query and Python approaches, but does not report a backtest or measured returns. It warns that the screen may favor short-term price action, miss stocks with longer-term value, and depend heavily on entry timing. Historical data alone may also lead to poor decisions. Proposed additions include fundamental filters such as P/E or P/B, selecting more stable stocks to limit turnover costs, or requiring positive returns over consecutive days. The example implementations and descriptions should be checked for consistency before use.

Key ideas

• The proposed screen requires turnover between 3% and 12%, bid volume above ask volume, and a volume ratio between 1.5 and 6.
• It uses trading activity and top-of-book imbalance as short-term selection signals.
• The document provides example implementations but no empirical performance results.
• It cautions that timing, short-term focus, historical data dependence, and turnover costs may limit the approach.

Tags

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