A Chinese Stock Screen Using Price Limits and Order Book Imbalance
Summary
The post proposes a Chinese stock selection screen based on four conditions: amplitude above one, a previous session 9:15 indicative match price at the limit-down level, best-bid quantity greater than best-ask quantity, and a market condition described as ranging. It associates large amplitude with trading opportunity, the prior indicative price with sentiment, and bid-side quantity dominance with stronger buying interest. It suggests ranking selected names by total market value.
The post also recommends adding fundamental measures, other technical indicators, industry and policy context, stop-loss rules, and position controls. It provides example formulas and Python-like code, but these references do not establish that the conditions are implemented correctly or that the screen performs well. No backtest results or evidence for the stated interpretations are supplied. The criteria, data fields, and market-specific price-limit rules would need validation before use.
Key ideas
- The proposed screen combines amplitude, a prior 9:15 indicative match at limit-down, bid-versus-ask quantity, and a ranging-market filter.
- The post interprets greater best-bid quantity as stronger buying interest, but supplies no evidence validating that inference.
- It suggests ranking qualifying stocks by total market value.
- Fundamental filters, additional indicators, industry and policy context, stop-losses, and position controls are proposed as refinements.
- The code and formulas are references only, and no backtest or performance evidence is reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.