A-Share Screening with Intraday Range, Order-Book Imbalance, and Market Capitalization

Summary

This note describes a stock screen for shares whose codes begin with 60. It selects stocks with a daily high-low range above 1% of the previous close, greater displayed buy-one volume than sell-one volume, and market capitalization of at least 1 billion yuan. The article gives equivalent screening logic in a charting formula and a Python example that filters price data and joins market-cap information.

The rationale is that a larger range signals volatility and stronger buy-side displayed volume may reflect demand. The article cautions that a single technical signal cannot capture a stock’s full investment risk, and that order-book quantities can be affected by manipulation or speculation. It suggests combining technical and fundamental factors or using a multi-factor model. No backtest, performance figures, or evidence of predictive advantage is provided, so the proposed screen should be treated as a selection example rather than a validated trading strategy.

Key ideas

• The screen requires a daily high-low range above 1% of the prior close.
• It restricts candidates to stocks with codes beginning with 60.
• Displayed buy-one volume must exceed sell-one volume, and market capitalization must be at least 1 billion yuan.
• The article warns that order-book volume can be distorted and recommends combining signals with other factors.
• The document provides selection logic but no backtest or performance evidence.

Tags

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