Screening Chinese Stocks by Range, Float, and Best-Level Order Imbalance

Summary

This document describes a Chinese equity screen that combines a prior-session price range above 1%, a circulating share count no greater than 5.5 billion, and best-level buy volume greater than sell volume. It presents the conjunction of these filters as a way to find stocks with notable movement, a smaller float, and stronger immediate buying interest. It also gives example implementations in a charting formula language and Python.

The accompanying rationale treats range as a proxy for short-term trading opportunity, float size as a rough indicator of small-cap risk and potential, and order imbalance as a snapshot of demand. The author cautions that order flow is short-term and that these criteria do not assess company fundamentals. Suggested improvements include evaluating a longer period and combining the screen with financial and business analysis. The document offers no backtest, performance results, or evidence that the thresholds predict returns; the screen should therefore be understood as a heuristic rather than a validated strategy.

Key ideas

• The screen requires a prior-session range above 1%, circulating shares of at most 5.5 billion, and best-level buy volume above sell volume.
• The proposed rationale links price movement, smaller float, and immediate order flow with short-term trading interest.
• Best-level order imbalance is a short-term observation and does not establish a lasting trend.
• The author recommends adding longer-horizon and fundamental analysis to address the screen’s narrow scope.
• No backtest or performance evidence is provided.

Tags

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