A Stock Screen Combining Turnover, Order Book Imbalance, and Rising DEA

Summary

This document describes an A-share screening rule that selects stocks with turnover between 3% and 12%, best bid volume greater than best ask volume, and a rising DEA signal. The stated rationale combines a turnover range and top-of-book volume imbalance as liquidity filters with a MACD-derived trend condition. It also gives example indicator formulas and a Python outline that obtains market and price data, calculates a MACD-related signal, and excludes a specified board.

The post supplies a screening recipe, but it does not present a backtest, performance measurements, or evidence that the conditions predict returns. Its discussion acknowledges that technical conditions alone omit company fundamentals and industry context, and suggests adding other indicators or fundamental filters. The example implementation's data sources and signal calculations would need to be checked before use; the article is a strategy sketch rather than a validated trading system.

Key ideas

• The screen requires turnover between 3% and 12%, bid-side top-level volume above ask-side volume, and a rising DEA signal.
• The rule combines liquidity-related filters with a technical trend condition.
• The article gives example formula and Python approaches but reports no backtest or measured performance.
• The author notes that technical filters omit fundamental and industry information and may select unstable stocks.

Tags

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