A Stock Screen Using Price Range, Turnover, Auction Volume, and Order Imbalance

Summary

This Chinese community post outlines a short-term stock screen combining price movement and trading activity. It selects shares with an amplitude above one, a product of the prior day’s turnover rate and the ratio of current auction volume to prior-day volume between 0.5 and 2, and greater displayed buy-one volume than sell-one volume. The accompanying code example also applies price and volume conditions, but its implementation does not clearly match every element of the prose description.

The post frames amplitude as a sign of active trading, turnover and relative volume as measures of market activity and liquidity, and the bid-to-ask quantity comparison as a sentiment cue. It warns that the screen focuses on short-term behavior, can be disrupted by speculative trading, and may miss longer-term opportunities. It suggests adding valuation or company-event information, but presents no backtest, returns, or validation showing that the screening rules predict gains.

Key ideas

• The screen combines price amplitude, a turnover and auction-volume ratio, and displayed best-level buy and sell quantities.
• The stated volume-adjusted turnover measure must fall within a specified range for a stock to qualify.
• The post interprets these inputs as short-term activity, liquidity, and sentiment signals.
• The article gives no performance validation and warns that short-term market conditions can change.

Tags

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