Stock Screening with Turnover, Low K, and Bid-Ask Queue Imbalance

Summary

This note proposes screening Chinese equities for turnover between 3% and 12%, a K reading below 20, and first-level bid volume greater than first-level ask volume. Its indicator examples also include additional filters for price, market capitalization, and an industry range; the Python example describes filtering turnover and order-book imbalance, then applying price, capitalization, and industry conditions. The intended interpretation is that moderate turnover and a low K reading constrain the candidate set, while stronger displayed bid size may signal short-term demand.

The author warns that order-book imbalance can be temporary and that the screen may favor risky small-cap stocks. It recommends checking whether the observed trading volume is normal and considering financial and industry information alongside the technical criteria. The note does not define the K indicator in detail, reconcile all of the listed formula conditions with the headline screen, or provide backtest results. The criteria should therefore be treated as a screening proposal rather than evidence of predictive performance.

Key ideas

• The headline screen combines turnover of 3%–12%, a K reading below 20, and first-level bid volume exceeding ask volume.
• The formula and code examples add price, market capitalization, and industry filters.
• Displayed bid-side strength can be short-lived and may not reflect sustained demand.
• The article recommends checking trading conditions and incorporating financial and industry factors, but provides no performance validation.

Tags

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