Screening Chinese Stocks by Intraday Range and Best-Level Order Imbalance

Summary

This stock-selection recipe screens Chinese equities for a daily high-low range above 1%, excludes Beijing-area stocks, and requires displayed buy volume at the best bid to exceed displayed sell volume at the best ask. The post also sketches extensions using valuation filters, revenue growth, moving averages, MACD, and recent highs, though it does not clearly define or validate a complete combined strategy.

The author warns that the range and order-book conditions may be lagging, that visible buying demand does not ensure a price rise, and that excluding Beijing stocks may remove promising candidates. Suggested refinements include testing alternative order-book measures, adding technical filters, and reconsidering the geographic exclusion. The document gives selection rules and implementation examples, but no backtest results, execution assumptions, or risk-adjusted performance, so it does not establish that the screen has an edge.

Key ideas

• The core screen requires a daily range above 1% and best-bid volume greater than best-ask volume.
• The selection logic excludes stocks associated with Beijing and applies a China-market restriction.
• The post suggests adding valuation, revenue-growth, and technical filters, but does not establish their combined effectiveness.
• Displayed buy-side demand may be stale or insufficient to predict subsequent returns.
• No backtest performance or execution-cost evidence is supplied.

Tags

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