Stock Screening by Turnover, Best-Level Order Imbalance, and Float Capitalization

Summary

This note proposes screening Chinese equities for turnover between 3% and 12%, first-level displayed buy quantity greater than sell quantity, and float market capitalization above 10 billion yuan. It presents these conditions as a way to combine trading activity, order-book demand, and company scale. The document includes query and Python examples, but reports no backtest or performance evidence.

The stated rationale is that turnover and order imbalance capture market activity, while the capitalization floor favors larger companies. The author also acknowledges that strict thresholds can exclude otherwise suitable stocks and that large capitalization does not protect against price declines or adverse news. Suggested refinements include adding fundamental measures such as profitability ratios and examining growth prospects. Because the screen relies on point-in-time order-book quantities and activity thresholds, its selections may be sensitive to data quality and changing market conditions.

Key ideas

• The screen requires turnover above 3% and below 12%, with float capitalization greater than 10 billion yuan.
• It also requires displayed buy quantity at the best level to exceed displayed sell quantity.
• The document provides implementation examples but no empirical results.
• Strict filters may narrow the candidate pool, while large capitalization does not remove market risk.
• The author suggests supplementing the screen with profitability and growth analysis.

Tags

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