Stock Screening by Turnover, Bid–Ask Depth, and Prior Trading Activity

Summary

This stock-screening proposal selects shares with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and previous-session trading activity above the stated threshold. It then takes the first ten qualifying symbols. The rationale is to combine a measure of trading activity, a snapshot of order-book participation, and recent transaction activity when identifying candidates. The document includes example query and Python approaches, but those examples should be checked carefully before use.

The article warns that the screen omits fundamentals and company performance, which can leave material investment risks unaddressed, and suggests adding company and industry data. There is also an implementation inconsistency: the Python example filters total market value rather than the stated prior-session turnover amount, and its date handling may not align cleanly across data sources. No backtest, selection performance, or evidence that the criteria predict returns is provided; the rules are a screening heuristic, not a validated strategy.

Key ideas

• The proposed screen combines a turnover-rate band, a first-level bid-volume imbalance, and prior-session trading activity.
• The stated final selection takes the first ten stocks that meet the conditions.
• The article identifies the absence of fundamental and company-performance data as a limitation.
• The Python example filters market value where the written rule calls for prior-session turnover, so the implementation does not exactly match the proposed logic.
• The document gives no backtest or evidence that the screen predicts returns.

Tags

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