Chinese Stock Screening by Intraday Range and Order Book Imbalance

Summary

The post describes a Chinese equity screening rule using three conditions: the stock’s daily high-low range exceeds a threshold, it did not hit the upper price limit on the previous day, and the best bid quantity is greater than the best ask quantity. The author interprets stronger displayed buying interest as a possible sign of upward potential. A sample implementation references market data fields and filters, but the code’s operations do not clearly match every part of the stated rule, so it should not be taken as a verified implementation.

The post gives no backtest results or evidence that the screen predicts returns. It flags that the approach relies on technical and order book information and omits company fundamentals; it also notes exposure to market fluctuations. Suggested refinements include adding weighted fundamental criteria and other technical measures while accounting for liquidity and market conditions. The screen is presented as a selection idea, not a complete trading strategy: it specifies no entry timing, exit rules, position sizing, or risk controls.

Key ideas

• The screen combines a daily range threshold with a previous-day price-limit exclusion.
• It selects stocks whose best bid quantity exceeds their best ask quantity.
• The author treats displayed bid-side strength as a possible signal of buying interest.
• The post provides no performance evidence and does not specify trade management rules.
• The code sample may not implement every stated screening condition consistently.

Tags

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