Stock Screening with Turnover, Bid–Ask Volume, and Prior Limit Status

Summary

This Chinese stock screening note combines three filters: turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and no limit-up close on the previous day. Its final selection statement calls for up to 30 stocks; the SQL example also restricts the universe to HS300 constituents. The Python example uses market detail, limit-list, and daily-basic data to apply similar filters.

The note presents these conditions as proxies for trading activity and buying interest, but provides no performance results or evidence that they predict returns. It cautions that the screen omits fundamental and other technical factors, leaving potential blind spots, and suggests adding measures such as valuation ratios or technical indicators. Implementation details may affect results: the examples use specific historical dates, and the Python merge logic and the stated previous-day condition should be checked before reuse. The screen is a selection rule, not a complete entry, exit, or risk-management strategy.

Key ideas

• The screen selects stocks with turnover strictly between 3% and 12%.
• It requires first-level bid volume to exceed first-level ask volume.
• It excludes stocks that reached the upper price limit on the previous day.
• The SQL example limits candidates to HS300 constituents and returns up to 30 names.
• The document offers no evidence of profitability and notes that fundamental and other technical factors are omitted.

Tags

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