Chinese Stock Screen Using Turnover, Order Book Imbalance, and Weekly Trends

Summary

The post proposes a Chinese equity selection rule combining turnover, order book imbalance, and a weekly chart signal. It screens for stocks with turnover between 3% and 12%, bid volume at the best price greater than ask volume, and a weekly close crossing above the 30-week moving average. The stated rationale is to combine trading activity and apparent buying pressure with a longer-term trend signal.

The post warns that the screen omits company fundamentals and industry conditions, and that chart interpretation can be subjective. It suggests combining fundamental, technical, and industry inputs, or adding indicators and volume-price measures. The accompanying formula and Python sketch are references, not validated evidence: the code filters weekly volume against 30- and 60-period volume averages, which does not clearly implement the stated price crossing rule. No returns, benchmark comparison, transaction costs, or backtest details are provided, so the screen's effectiveness is unestablished.

Key ideas

• The proposed screen combines a 3%–12% turnover range with best-bid volume exceeding best-ask volume.
• Its stated trend condition is a weekly close crossing above the 30-week moving average.
• The author notes that market and technical signals omit fundamentals and industry context.
• The supplied implementation sketch appears to use volume moving averages rather than the stated price crossover.
• The post provides no backtest or performance evidence for the selection rule.

Tags

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