Screening Stocks by Turnover, Bid-Ask Queue Imbalance, and Limit-Up Exclusion

Summary

This post presents a Chinese stock selection rule combining turnover, displayed order-book quantities, and prior-day price-limit behavior. It keeps stocks with turnover between 3% and 12%, where first-level buy quantity exceeds first-level sell quantity, and excludes stocks that hit the upper price limit the previous day. The stated rationale is to seek trading activity and buying pressure while avoiding names whose recent limit-up move may constrain next-day trading.

The post discusses possible limitations: excluding recent limit-up stocks may reduce the candidate pool and liquidity, while turnover and top-of-book quantities do not capture a stock’s full condition. It suggests adding fundamental measures or technical indicators, but provides no backtest, empirical evidence, or trading performance. The accompanying sample implementation is only illustrative, and the post does not establish that its data fields or checks faithfully implement the intended rule.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks where displayed first-level buy quantity exceeds first-level sell quantity.
• It excludes stocks that hit the upper price limit on the previous day.
• The post gives no empirical evidence that these conditions produce profitable trades.

Tags

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