Stock Screening by Turnover, Bid-Ask Queue Imbalance, and Prior Turnover

Summary

This post describes a Chinese equity screening rule combining current turnover, top-of-book order volume, and previous-day turnover. It selects stocks with turnover between 3% and 12%, more displayed volume at the best bid than at the best ask, and prior actual turnover between 3% and 28%. One example implementation also sorts candidates by market capitalization and retains those with positive net fund inflow, although these steps are not fully consistent with the stated core rule.

The post explains that turnover is intended to capture trading activity and that the prior-day condition adds historical activity context. It provides sample query and Python-style implementations, but no backtest, performance figures, or validation. The selection logic is explicitly presented as simple and may miss company fundamentals; the author suggests adding financial and earnings measures. The examples depend on specific data fields and dates, and the document does not explain execution timing, survivorship bias, or how the thresholds were chosen.

Key ideas

• The core screen requires current turnover between 3% and 12% and prior actual turnover between 3% and 28%.
• It also requires displayed best-bid volume to exceed displayed best-ask volume.
• An example implementation adds market-capitalization sorting and positive net fund inflow filters.
• The post provides code examples but no evidence of historical or live performance.
• The author notes that the rule omits fundamental information and may need broader analysis.

Tags

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