A-Share Screening with Turnover, Bid-Ask Size, and Indicator Crossovers

Summary

This Chinese stock selection idea combines a turnover range of 3% to 12% with first-level bid volume exceeding ask volume and simultaneous bullish crossovers in three indicators, with MACD, KDJ, and RSI given as examples. The post includes sample formula and Python snippets intended to illustrate these filters, as well as a final ranking by market capitalization in its Python workflow.

The stated rationale is to combine trading activity, order-book demand, and technical signals. The document acknowledges that the rules are simple, omit company fundamentals, and may overfit past patterns. The supplied snippets contain inconsistencies between the stated crossover logic and some coded comparisons, and no backtest results or evidence of returns are presented. The conditions therefore serve as a screening concept that would need careful definition, data checks, and out-of-sample evaluation before practical use.

Key ideas

• The selection rule combines a turnover band, bid-side size greater than ask-side size, and three bullish indicator crossovers.
• MACD, KDJ, and RSI are named as example indicators for the crossover filter.
• The sample Python workflow ranks filtered candidates by market capitalization.
• The post cautions that the screen omits fundamentals and may overfit historical patterns.
• The examples contain logic inconsistencies and provide no performance validation.

Tags

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