Stock Screen Using Turnover, Previous-Day Top-Trader Lists, and Order Book

Summary

This short-term stock screen selects shares with turnover between 3% and 12%, an appearance on the previous day's exchange top-trader list, and first-level bid volume greater than first-level ask volume. The note treats turnover as a measure of trading activity, the list appearance as evidence of market attention, and the bid-versus-ask comparison as a snapshot of buying interest. It includes brief formula and Python examples that express the conditions.

The article cautions that the rule focuses on short-term trading signals and omits company fundamentals, while also producing a narrow and potentially mechanical selection. It recommends considering financial health and broadening coverage across active industries. No backtest, performance figures, benchmark, or execution analysis is supplied. The order-book comparison is only a momentary observation and does not establish that buyers will continue to dominate; the usefulness of the screen depends on data timing, definitions, and how trades are executed.

Key ideas

• The screen requires turnover between 3% and 12% and a top-trader-list appearance on the prior day.
• It selects stocks whose first-level bid volume exceeds first-level ask volume.
• The note says the rule omits fundamentals and may produce a narrow, mechanical shortlist.
• No performance test is reported, and the order-book imbalance is only a snapshot.

Tags

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