A-Share Screen Using Price Range and Buy-Sell Volume Imbalance
Summary
This stock screen selects shares using three filters: price amplitude above one percent, exclusion of Beijing-listed stocks, and a ratio of external to internal trading volume above 1.3. The article presents the ratio as a way to identify stronger buying activity, alongside a volatility condition. It provides indicator-formula and Python examples, including retrieving trade data and comparing buy-side and sell-side volume. The stated procedure also excludes stocks outside the intended mainland market universe.
The article does not report backtest results or evidence that the criteria predict returns. It identifies several limitations: the ratio alone ignores total trading volume, the screen may include smaller and less liquid shares, and short-term trading measures omit company fundamentals and industry conditions. It suggests considering total volume, fundamental information, and additional market indicators. Differences in the wording and code around market exclusions and price amplitude mean the precise universe and calculations should be checked before implementation.
Key ideas
- The screen combines a price-amplitude threshold with a buy-side to sell-side volume ratio above 1.3.
- It excludes Beijing-listed shares and describes a mainland-market universe filter.
- The article warns that volume ratios can be misleading without total-volume and liquidity checks.
- It suggests supplementing trading activity measures with fundamentals and other market indicators.
- No performance results are given.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.