Stock Screening with Turnover, Earnings Growth, and Order Book Imbalance

Summary

This Chinese equity screen selects shares with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and first-level bid volume greater than first-level ask volume. The combination joins a trading-activity range and an earnings growth filter with a snapshot of displayed order-book pressure. The article includes example formulas and a Python reference, but the code does not clearly match the full described screen: its data fields and comparisons do not consistently correspond to the stated turnover, bid-versus-ask, and earnings conditions.

No historical results or backtest evidence are provided, so the screen should be read as a proposed selection rule rather than a demonstrated strategy. The article notes that displayed orders can be misleading or affected by unusual trading, and recommends considering additional financial and technical indicators and adapting the model to market conditions. Order-book volume is a transient observation and does not establish a stock’s fundamental value or likely future return.

Key ideas

• The screen combines a 3%–12% turnover range with specified year-over-year net profit growth.
• It also requires first-level bid volume to exceed first-level ask volume.
• The approach combines a fundamental growth measure with a snapshot of displayed market depth.
• The article provides no performance evidence, and its example code appears inconsistent with parts of the stated rule.
• Displayed order sizes can be misleading or affected by unusual trading activity.

Tags

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