Stock Screening by Turnover, Bid-Side Volume, and Positive Return

Summary

This Chinese-language article proposes an equity screen that selects stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a positive return. It presents the conditions as a way to focus on trading activity, order-book imbalance, and recent positive performance. The page includes example query and Python snippets, though the examples appear to add implementation filters beyond the stated core logic, including market, capitalization, and listing criteria. No backtest, measured returns, or evidence that the screen predicts future gains is provided.

The article notes that a short-term focus can exclude companies with longer-term value and that results depend on timing; reliance on historical data can lead to poor decisions. It suggests adding valuation measures, favoring stable names to limit turnover costs, or requiring several consecutive positive-return days. These are proposed refinements, not validated improvements, so the screen should be treated as a hypothesis requiring testing with realistic costs and point-in-time data.

Key ideas

• The core screen combines turnover from 3% to 12%, bid volume above ask volume, and positive return.
• The article frames turnover and order-book imbalance as indicators of activity and short-term demand.
• Its code examples include additional filters that are not part of the stated core rule.
• No performance testing is reported, and the proposed refinements are unvalidated.
• The article flags timing dependence, short-term bias, and transaction costs as risks.

Tags

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