Stock Screening by Turnover, Bid–Ask Depth, and Float Value
Summary
The document presents an equity screen combining three conditions: turnover between 3% and 12%, first-level bid volume greater than ask volume, and floating market capitalization between 5 billion and 10 billion yuan. It frames these filters as a way to find actively traded, relatively smaller companies with some scale. It also gives example implementations for stock screening, but the examples are not accompanied by performance results or a backtest.
The article cautions that the screen relies heavily on trading activity and a limited set of company measures. It may miss business quality, financial health, and industry conditions, so selections can be biased or risky. Suggested refinements include adding financial statements, industry information, and valuation measures such as price-to-earnings or price-to-book ratios. The approach is a simple candidate-generation rule rather than a complete investment process.
Key ideas
- The screen selects stocks with turnover from 3% to 12%.
- It requires first-level bid volume to exceed first-level ask volume.
- It restricts floating market capitalization to 5 billion to 10 billion yuan.
- The article notes that business, financial, and industry information is missing from the screen.
- It suggests adding valuation and broader fundamental measures before relying on selections.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.