Stock Screening with Turnover, Bid-Ask Depth, and Trade Imbalance

Summary

The document describes a stock selection screen requiring turnover between stated lower and upper bounds, first-level bid volume above ask volume, and a ratio of buyer-initiated to seller-initiated trading above a specified threshold. It presents these conditions as a way to find actively traded stocks with buying pressure. Example formula and Python-style data handling are included, but the article supplies no backtest, trade outcomes, or evidence that the criteria predict returns.

The author acknowledges that relying on a small set of market indicators can miss company fundamentals and broader context. Suggested additions include valuation measures, financial statements, and industry information, while thresholds may be adjusted. The screen should therefore be treated as a basic filtering idea whose effectiveness requires independent testing and risk controls.

Key ideas

• The screen combines a turnover range with stronger displayed bid volume and a buyer-to-seller trade ratio threshold.
• The article interprets these conditions as signs of activity and buying pressure.
• It offers formula and data-processing examples without performance evidence.
• The author warns that a narrow technical screen omits fundamentals and broader information.
• Valuation and company or industry data are suggested as possible additional filters.

Tags

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