Stock Screening by Turnover, Order Book Imbalance, and Float

Summary

This Chinese-language post describes an equity screen requiring turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a circulating share count no higher than 5.5 billion. It presents these conditions as a way to find actively traded stocks with a moderate float. The post offers no backtest, performance figures, or supporting data, so the proposed link between these filters and better trading opportunities remains an assertion.

The author notes that the float cutoff can exclude large-float stocks with strong long-term performance and smaller companies with future potential. Suggested refinements include replacing or combining the float constraint with a market-cap limit and adding indicators such as relative strength or MACD. The article gives no entry timing, exit rules, position sizing, or risk controls, and its sample strategy code is marked as unavailable. The screen is therefore a basic candidate-selection rule rather than a complete trading strategy.

Key ideas

• The screen selects equities with turnover between 3% and 12%.\nIt requires first-level bid volume to exceed first-level ask volume.\nIt limits circulating shares to 5.5 billion or fewer.\nThe post cautions that a float threshold may exclude both large and small companies with potential.\nIt suggests market capitalization and additional technical indicators as possible screening refinements.

Tags

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