Stock Screening with Volatility, Float Market Cap, and Bid–Ask Size
Summary
The document describes a stock selection rule combining three conditions: daily price amplitude above a threshold, circulating market capitalization above a threshold, and best bid volume greater than best ask volume. It presents the conditions as filters for trading activity, company size, and visible buying pressure. The accompanying formula and Python example show how the rule could be applied to listed Chinese stocks using market quotes and daily basic data.
The article suggests that stronger displayed bid volume may indicate favorable market sentiment, while noting that this signal does not establish a stock’s fundamental value. Larger price swings can reflect elevated risk as well as activity, and the rule omits fundamentals and opportunities in other assets. It proposes adding technical and fundamental measures for further screening, but gives no backtest, performance evidence, or portfolio construction method. The Python example also randomly samples from qualifying stocks, so selection and implementation details would need scrutiny before practical use.
Key ideas
- The screen requires price amplitude above a threshold, large circulating market capitalization, and best bid volume exceeding best ask volume.
- The conditions are intended to represent activity, company size, and visible buying pressure.
- A larger bid queue is only an order book observation and does not prove that a stock is fundamentally valuable.
- High amplitude can signal active trading while also indicating greater price fluctuation.
- The document offers no performance test and suggests adding technical or fundamental filters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.