Chinese Stock Screen Using Turnover, Level-One Order Imbalance, and the Five-Day Average

Summary

This note outlines a Chinese equity screen requiring turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and the share price above its five-day moving average. The accompanying selection logic also describes ranking candidates by market capitalization and retaining those with positive net capital inflow. These conditions combine trading activity, visible order-book demand, and a short-term price trend.

The article includes SQL-style filters and a Python example that joins market-detail, daily-price, company-basic, and money-flow data. It provides no backtest, sample results, or evidence that the filters predict returns. The stated limitations are that the rules are simple, omit a fuller view of company fundamentals, and may be affected by market sentiment. Suggested additions include financial measures and sentiment indicators; the code also relies on a specified historical trading date, so it does not establish a live or repeatable evaluation process.

Key ideas

• The screen requires turnover between 3% and 12%, bid volume above ask volume, and price above the five-day average.
• The fuller selection logic ranks candidates by market capitalization and filters for positive net capital inflow.
• The example combines order-book, daily-price, company-basic, and money-flow data.
• The article provides no performance evidence and notes that the rules omit fundamentals and can be affected by sentiment.

Tags

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