A Chinese Equity Screen Using Turnover, Bid-Ask Volume, and Prior Lows

Summary

The screen selects stocks with a five-day average turnover rate between 3% and 12%, displayed first-level bid volume greater than first-level ask volume, and a closing price above the previous session’s low. The stated rationale combines trading activity and order-book imbalance with a basic price condition, aiming to find stocks with potential upward strength. The document also gives example formula and Python references for expressing the filters.

The post acknowledges that the screen omits company fundamentals, industry outlook, and the prior session’s high, and suggests combining technical, fundamental, and industry inputs or adding indicators such as volatility and moving averages. It provides no backtest results, execution rules, or evidence that the criteria predict returns. The volume comparison may also be sensitive to when order-book data is observed, while the closing-price condition alone does not establish a durable trend. Treat the screen as a simple candidate filter requiring further testing and risk controls.

Key ideas

• The screen requires five-day average turnover within a stated range, bid volume above ask volume, and a close above the prior low.
• The proposed filters combine activity, order-book volume, and a simple price-level condition.
• The post supplies formula and Python examples for implementing the selection logic.
• The author notes that fundamentals, industry context, and the prior high are not considered.
• No historical performance evidence or execution guidance is provided.

Tags

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