Stock Screening with Turnover, Bid Depth, and Institutional Flow
Summary
This note describes a Chinese equity screen combining turnover, order book depth, and institutional trading. It selects stocks with turnover between 3% and 12%, displayed best bid volume above best ask volume, and a positive institutional trading measure. A related formula example ranks institutional trade share and adds a positive net inflow filter; the Python example instead filters institutional ratio and inflow, then returns matching stock codes.
The document presents the screen as a way to combine trading activity and institutional participation, but gives no backtest, performance evidence, or execution details. It acknowledges that the rules are simple, do not assess company fundamentals, and that institutional flow may not reflect actual intent. The examples also differ in implementation and include platform-specific data fields, so their outputs may not match exactly. Further fundamental measures are suggested as possible additions, but no refined strategy or validation is provided.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt favors stocks where displayed best bid volume exceeds best ask volume.\nInstitutional activity or net inflow is used as an additional filter.\nThe note warns that institutional flow is an imperfect signal and fundamentals are omitted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.