Screening Stocks by Turnover, Bid–Ask Imbalance, and Money Flow
Summary
This note describes an A-share stock screen combining turnover, order-book volume, money-flow ranking, and an exclusion for STAR Market listings. It selects stocks with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a money-flow strength condition. The article also provides example formula and Python implementations, illustrating how market-detail, daily turnover, money-flow, and listing data can be joined to form a candidate list.
The rationale is to favor moderately active stocks with a buy-side order-book skew and strong money flow. The author cautions that the screen does not adequately account for company fundamentals or industry characteristics, and may pick volatile theme-driven shares. Moving-average or KDJ filters and removing some hot themes are suggested as possible refinements. No backtest results or performance evidence are provided. The formula examples also differ in how they express money-flow direction and ranking, so the intended condition should be checked before implementation.
Key ideas
- The screen combines 3%–12% turnover with first-level bid volume exceeding ask volume.
- It prioritizes stocks using a money-flow strength condition and excludes STAR Market listings.
- The article warns that the rules may select volatile theme-driven shares because fundamentals and industry traits are omitted.
- It suggests adding technical filters or excluding overheated themes, but reports no performance tests.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.