Screening Stocks by Turnover, Order-Book Imbalance, and Position Growth

Summary

This document proposes a stock screen using three conditions: turnover within a stated range, first-level bid volume greater than ask volume, and daily position growth above a stated threshold. It frames turnover as a liquidity and activity filter, the bid–ask volume comparison as a measure of near-term buying pressure, and position growth as a clue to changing market participation. Formula and Python examples are included as implementation references.

The author acknowledges that the approach does not account for broad market uncertainty or policy risks and suggests adding technical indicators and industry classification. No backtest results or evidence of predictive performance are supplied. The examples also warrant careful review: the position-growth example uses futures data even though the selection is described as a stock screen, and the turnover formula shown is not a straightforward expression of the stated range. These issues limit how directly the sample code can be relied upon.

Key ideas

• The proposed screen combines a turnover range with bid volume exceeding ask volume and a position-growth threshold.
• The order-book comparison is intended to represent immediate buying pressure.
• The document provides formula and Python examples but no performance evaluation.
• It notes that market-wide and policy risks are outside the screen's criteria.
• The sample implementation has apparent mismatches with the stated stock-selection logic and should be reviewed.

Tags

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