A-Share Screen Combining Price Range, Profitability, and Top-of-Book Volume
Summary
This proposed A-share screen combines four conditions: a price-amplitude threshold above 1%, market capitalization no greater than 10 billion yuan, positive net profit, and first-level bid volume exceeding first-level ask volume. The post describes amplitude as a way to find more active stocks, the size limit as a small-company filter, positive profit as a basic quality check, and bid-side volume as a sign of buying interest. It provides example formulas and a Python screening outline.
The evidence is explanatory rather than empirical: no backtest or return data are reported. The article itself warns that short-term price movement and order-book volume can be affected by sentiment and speculation, and that a single bid-versus-ask comparison does not capture the full market. It suggests adding valuation, trading-value, and business measures, and considering a longer selection horizon. The described conditions identify candidates, but do not define trade execution, portfolio sizing, or exit rules.
Key ideas
- The screen combines a price-amplitude threshold with a market-cap ceiling and positive net profit.\nIt also requires displayed best-bid volume to exceed best-ask volume.\nThe post treats these filters as candidate-selection criteria and reports no backtest evidence.\nTop-of-book volume alone may not represent overall market conditions.\nThe article suggests adding valuation, trading, and business measures and using a longer horizon.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.