Chinese Stock Screening with Turnover, Order-Book Imbalance, and Range

Summary

This document describes a Chinese equity screening rule combining turnover, displayed order-book volume, and intraday price range. It selects stocks with turnover between 3% and 12%, greater displayed bid volume than ask volume, and an amplitude threshold above 1. The article presents the imbalance as a possible sign of buying interest and the large range as a way to identify active, potentially rising stocks. It also gives platform-specific indicator references and a sample data workflow, though the sample’s filters and scaling do not align cleanly with the stated rule.

The post provides no backtest, performance statistics, or evidence that the screen predicts gains. It warns that short-term noise can influence the signals, large ranges may accompany speculative activity, and order-book volume can shift with capital flows. It suggests adding technical or fundamental measures, but does not evaluate those additions. Readers should treat the selection logic as an idea for testing, with particular care around definitions and data units.

Key ideas

• The screen combines a turnover band, bid volume exceeding ask volume, and a large price range.
• The article interprets order-book imbalance as buying interest, but gives no predictive evidence.
• Large price swings and changing displayed volume can make the signals noisy or unstable.
• The sample implementation does not clearly match every threshold in the written rule.

Tags

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