Screening Chinese Stocks by Intraday Range, Turnover, and Bid-Ask Volume

Summary

This stock-selection note describes a simple screen combining three conditions: price amplitude above a threshold, prior-day trading value above a stated minimum, and first-level bid volume greater than first-level ask volume. The author frames these as filters for price movement, market activity, and the near-term balance of displayed buying and selling interest. A Python example references real-time quote fields, though its calculations and data handling are not explained in depth.

The note offers no backtest, performance results, or evidence that the filters predict returns. It also acknowledges that order-book imbalance can be local or temporary and that the screen ignores company fundamentals. The proposed improvements are to add other technical indicators and fundamental measures. Treat it as an introductory screening idea rather than a validated strategy: the supplied example does not establish signal timing, execution assumptions, or whether its turnover calculation reliably represents prior-day trading value.

Key ideas

• The screen selects stocks using price amplitude, prior-day trading value, and top-of-book bid volume relative to ask volume.
• The author interprets amplitude and turnover as measures of price activity and market attention.
• A larger displayed best bid than best ask is used as a short-term order-book filter.
• The note warns that the order-book signal may be temporary and that fundamentals are omitted.
• No backtest or performance evidence is provided, and the code’s calculation assumptions are not validated.

Tags

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