Stock Screen Combining Turnover, Bid-Ask Queue Imbalance, and a Prior Limit-Down

Summary

This article proposes screening stocks with turnover between three and twelve percent, displayed best-bid volume greater than best-ask volume, and a prior-day condition described as a 9:15 matched price at the daily limit-down. The first two filters are framed as measures of trading activity and buying demand, while the limit-down condition selects stocks that have experienced sharp weakness. The article includes SQL-like and Python examples for combining market, quote, and basic stock data.

The rationale that these conditions could offer higher returns is asserted but not supported with backtest results or other evidence. The article notes that it omits fundamentals, that high turnover may cause frequent portfolio changes, and that a limit-down event does not establish a stock's underlying value. It suggests adding valuation or earnings measures and considering historical data when refining the rules. The examples also do not clearly establish that the data fields and timing reproduce the stated 9:15 condition, so the signal definition would need careful verification before research use.

Key ideas

• The screen combines a turnover range of three to twelve percent with greater displayed bid volume than ask volume.
• It adds a prior-day condition described as a 9:15 matched price at the daily limit-down.
• The article interprets turnover and queue volume as activity and demand signals, but supplies no evidence of predictive returns.
• It warns that turnover can drive frequent trading and that a limit-down event does not indicate fundamental value.
• The sample implementation's fields and timing may not faithfully represent the stated auction condition.

Tags

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