Stock Screening by Turnover, Float Market Value, and Order Book Imbalance

Summary

This Chinese equity screen first restricts candidates to stocks with turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan. It then selects stocks where displayed best-bid volume exceeds best-ask volume, treating that imbalance as a sign of stronger demand and active trading. The article provides a formula and a Python example that apply these conditions to the latest available row for each stock.

The approach relies on a small set of market activity and order-book variables. The source warns that it omits company fundamentals and may be distorted by market sentiment or noise; it suggests adding technical measures and financial data such as profitability or earnings growth. No historical performance analysis is supplied. The screen also depends on accurate, consistently defined data fields, particularly for turnover, circulating value, and top-of-book volume, so implementation results may vary across data providers.

Key ideas

• The screen filters stocks by a turnover range and a circulating market-value range.
• It selects candidates when displayed best-bid volume exceeds best-ask volume.
• The article frames the imbalance as a measure of demand and trading activity.
• The source cautions that the screen ignores fundamentals and may respond to noise or sentiment.
• The formula and Python example require compatible and correctly mapped data fields.

Tags

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