Chinese Stock Screen Using Turnover, Bid Pressure, and a Long-Term Trend

Summary

This Chinese-language post describes a stock selection screen combining three conditions: turnover within a specified range, first-level bid volume greater than ask volume, and the prior close above the 250-day moving average. Its sample formula also requires the latest close to exceed the previous close. The accompanying Python outline filters market-detail and daily-price data, calculates the moving average, and combines the conditions. The post frames the moving-average condition as a way to favor stocks in an upward trend and the turnover band as a measure of trading activity. It provides no backtest results or evidence that the rules predict returns. The author cautions that this simple screen may miss company fundamentals and suggests adding financial and earnings measures. Data timing, implementation details, and out-of-sample validation are not discussed.

Key ideas

• The screen requires turnover to fall within a specified band and bid volume to exceed ask volume.
• It selects stocks whose prior close is above the 250-day moving average.
• The sample formula also filters for a positive latest price change.
• The post offers no performance evidence and warns that the rules omit fundamental analysis.

Tags

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