Screening Stocks by Turnover, Bid-Ask Depth, and Ten-Day Return

Summary

This Chinese equity selection rule screens for stocks with turnover between 3% and 12%, first-level bid quantity greater than first-level ask quantity, and a ten-day return above zero but below 35%. Together, the conditions aim to find shares with a defined range of trading activity, a snapshot of stronger displayed buy-side depth, and a positive but capped recent price gain. The post describes the logic but provides no indicator formula or Python implementation.

The stated limitation is that the screen ignores company fundamentals and may still select stocks whose apparent strength occurs during a broader market decline. The author suggests adding valuation or profitability measures and applying exit controls such as stop-losses and profit-taking. No backtest, transaction-cost analysis, or evidence of predictive performance is included. The bid-versus-ask quantity comparison is a point-in-time order-book observation, so its usefulness depends on data quality and how quickly displayed liquidity changes; the post does not specify sampling or execution rules.

Key ideas

• The screen requires turnover between 3% and 12% and a positive ten-day return below 35%.
• It also requires displayed first-level bid quantity to exceed first-level ask quantity.
• The combination targets active stocks with recent gains and comparatively stronger visible buy-side depth.
• The post gives no implementation code or evidence from backtesting.
• Fundamental filters and exit rules are suggested, while order-book timing and broader market risk remain unspecified.

Tags

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