A Turnover, Ten-Day Average, and Order-Book Stock Screen
Summary
This Chinese equity screening rule selects stocks with turnover between 3% and 12%, an opening price within roughly 5% of the ten-day closing-price average, and first-level bid volume greater than first-level ask volume. The article interprets turnover and opening price as signs of activity and relative value, while the bid/ask size comparison reflects near-term order-book interest. It presents the rule as a short-term, technical-analysis approach and includes formula and Python illustrations.
The document provides no historical test, trade outcomes, or evidence that the filters predict returns. Its own discussion notes that a screen based only on technical and short-term signals can miss company fundamentals and broader market conditions, and may be unsuitable for long-term investing. The order-book condition also depends on how quote depth is measured and timed, details the article does not establish. The rule is therefore a simple candidate screen; financial and macroeconomic inputs or additional indicators would need separate evaluation before use.
Key ideas
- The screen combines a 3%–12% turnover band with an opening price near the ten-day average.
- It requires first-level bid volume to exceed first-level ask volume.
- The article frames the conditions as a short-term technical screen rather than a long-term investment method.
- It supplies no performance validation and notes the omission of fundamental and broader market factors.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.