Screening Stocks by Turnover, Order-Book Imbalance, and Recent Limit-Ups

Summary

This document describes a Chinese stock selection rule combining a turnover range of 3% to 12%, first-level bid volume greater than ask volume, and at least one limit-up event during the previous month. It interprets these filters as indicators of liquidity, buying interest, and recent price strength. A brief Python example and a technical-indicator formula reference are included, though the code's data handling is not fully explained or validated.

The post warns that selecting on recent limit-ups may overfit and may not capture a stock's broader fundamentals or resilience in volatile markets. It suggests adding valuation and other fundamental screens and adjusting the rule to market conditions. No backtest results, performance statistics, or evidence that the proposed filters predict returns are provided, so the selection logic should be treated as a screening idea rather than a demonstrated strategy.

Key ideas

• The screen requires turnover between 3% and 12%, bid volume above ask volume, and a recent limit-up event.
• The post frames the filters as proxies for liquidity, buying interest, and short-term strength.
• Recent limit-up behavior may overfit and does not establish a stock's fundamental quality.
• The document provides no performance test or return evidence for the selection rule.

Tags

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