Chinese Stock Screen Using Turnover, Order-Book Imbalance, and Weekly Candles
Summary
This Chinese equities screening rule selects stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and a bullish weekly candle. The stated rationale combines a bounded turnover range as a liquidity filter with order-book demand and a positive weekly price signal as indications of buying interest and strengthening momentum.
The document offers a qualitative explanation rather than empirical validation: it provides no backtest, performance figures, entry or exit rules, or position-sizing method. It warns that the screen relies heavily on technical factors, omits fundamentals, and may encourage crowded trading when sentiment becomes one-sided. Suggested refinements include adding indicators such as RSI or MACD, considering fundamental information and broader trend measures, and watching for sentiment reversals. The rule is therefore a candidate stock-selection filter, not a complete trading system, and the source provides no formula implementation.
Key ideas
- The screen requires turnover from 3% to 12%, bid volume at the best price above ask volume, and a bullish weekly candle.
- Turnover is presented as a liquidity filter, while the order-book and weekly-candle conditions are intended to capture buying pressure and upward momentum.
- The source provides a qualitative rationale but no measured performance or backtest evidence.
- Its stated risks include ignoring fundamentals and following overly one-sided market sentiment.
- Additional technical and fundamental filters are suggested, but no tested optimized version is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.