A-Share Screen Using Turnover, Order Book Imbalance, and the 10-Day Average

Summary

This proposed stock screen selects shares with turnover between 3% and 12%, greater displayed volume at the best bid than at the best ask, and an opening price near the 10-day moving average. The stated rationale is to combine trading activity with a simple measure of order book pressure and a short-term price reference. The moving-average condition is intended to avoid shares trading far above or below that reference, while the bid-side condition is treated as a sign of buying interest.

The article provides no formula implementation, executable code, backtest, or measured performance. It also warns that the screen relies on short-term signals and does not account for longer-term trends. Its further suggestions include adding company valuation or growth measures and explicit return and risk controls, but it does not define or test those additions. The signal interpretations should therefore be treated as hypotheses rather than demonstrated predictive effects.

Key ideas

• The screen combines a 3% to 12% turnover range, best-bid volume above best-ask volume, and an opening price near the 10-day average.
• The article interprets the filters as measures of activity, buying pressure, and short-term trend context.
• No implementation details or performance evidence are supplied.
• The article notes that short-term criteria may miss longer-term trends and recommends adding fundamentals and risk controls.

Tags

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