Stock Screening by Turnover, Order Book Imbalance, and Listing Year
Summary
This post describes a daily stock screen for shares with turnover between 3% and 12%, greater displayed quantity at the best bid than at the best ask, and a 2021 listing year. It interprets the turnover band as a sign of trading activity and the bid-versus-ask quantity condition as a possible indication of buying interest.
The post gives no performance data, backtest, or implementation code, so the screen’s predictive value is not established. It warns that the listing-year filter can exclude older stocks with stronger historical performance and that reliance on newly listed shares adds risk. It suggests combining the conditions with technical indicators, market context, and fundamental analysis, but does not specify or test a complete refinement method.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects stocks where best-bid quantity exceeds best-ask quantity.\nIt further restricts candidates to stocks listed in 2021.\nThe post offers no performance evidence and recommends considering broader market and fundamental factors.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.