Screening Stocks by Turnover, Bid Depth, and Dragon-Tiger List Presence
Summary
This stock selection rule looks for shares with daily turnover between 3% and 12%, displayed best-bid volume greater than best-ask volume, and a listing on that day's Dragon-Tiger list. Together, these filters target actively traded stocks with visible near-touch bid-side imbalance and notable market attention. The author suggests the combination may help identify securities attracting trader interest.
The post provides a conceptual description only: its indicator formula and Python example are both marked as unfilled, and it reports no backtest or outcome data. It also notes that the rule relies heavily on current market sentiment and can overlook longer-term trends, including highly active stocks with strong longer-run performance. Possible extensions include adding company valuation measures such as market capitalization or PEG, as well as explicit return and risk controls. The screen itself does not define position sizing, execution timing, or how to interpret a Dragon-Tiger listing beyond its role as an attention filter.
Key ideas
- The rule combines a 3% to 12% turnover range, best-bid volume exceeding best-ask volume, and same-day Dragon-Tiger list presence.
- Turnover and top-of-book volume are used to represent trading activity and near-term demand.
- Dragon-Tiger list membership serves as a proxy for heightened market attention.
- The post gives no implementation details or performance evidence.
- The approach may overemphasize daily sentiment and omit longer-term trend and risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.