A Stock Screen Combining Turnover, Order-Book Imbalance, and Auction Buying

Summary

This Chinese equity selection method looks for stocks with turnover between 3% and 12%, greater displayed bid volume than ask volume, and positive net buying attributed to major participants during the auction. The post also includes a price trend condition: the close should be above its 30-day moving average. Together, the conditions aim to identify actively traded shares with apparent buying pressure and an upward trend.

The article explains the screen conceptually and supplies example indicator logic and Python-style code, but reports no backtest or live-trading results. It cautions that the rules emphasize technical and trading-volume information and may overlook company fundamentals, recommending that financial and earnings measures be added. Order-book and auction signals can also be transient, and the document gives no evidence that the chosen thresholds predict future returns.

Key ideas

• The screen requires turnover between 3% and 12% and bid volume greater than ask volume.
• It looks for positive net buying attributed to major participants during the auction.
• The accompanying logic adds a close above the 30-day moving average.
• The post gives no performance evidence and recommends including fundamental measures.

Tags

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