A Three-Day Pullback Stock Screen Using Turnover and Bid-Ask Volume

Summary

This Chinese-language strategy note describes a stock screen combining a turnover range of 3% to 12%, first-level bid volume greater than first-level ask volume, and three consecutive sessions of declining closing prices. The intended idea is to find liquid stocks that have fallen over a short period and may rebound. The post includes references for implementing the screen in a charting platform and with market data, though the sample code and formulas do not constitute a tested trading system.

The document gives no performance results or evidence that the conditions predict a rebound. It explicitly cautions that the screen is simple and does not account for company fundamentals or broader influences. It suggests adding measures such as market capitalization, profitability, growth, policy conditions, and industry trends. The turnover and order-book filters may help define the candidate set, but they do not by themselves establish execution feasibility, persistence of buying pressure, or attractive risk-adjusted returns. Further validation, including out-of-sample testing and transaction-cost analysis, would be needed before using the screen in live trading.

Key ideas

• The screen requires turnover between 3% and 12%, bid-one volume above ask-one volume, and three consecutive lower closes.
• Its premise is that a short-term decline may identify stocks with rebound potential.
• The note offers implementation references but reports no backtest or live-trading evidence.
• The author warns that price action alone omits fundamentals and broader market context.
• Additional company, industry, and market filters could make the selection process more comprehensive.

Tags

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