Screening Robot-Theme Stocks with Amplitude and Order-Book Imbalance

Summary

This Chinese-language post outlines a stock-selection screen for robot-theme companies with daily amplitude above 1% and circulating market capitalization below 10 billion yuan. It adds a comparison of first-level order-book quantities, intending to select names where displayed buying interest exceeds selling interest. The post includes formula and Python examples, and proposes adding valuation and profitability filters such as price-to-earnings and return-on-equity measures.

The post gives a rationale for combining price movement, a thematic classification, company size, and displayed order quantities, but provides no backtest, return statistics, or evidence that the conditions forecast gains. It notes that high-amplitude stocks may not sustain a move, displayed orders can change quickly or be captured inaccurately, and market capitalization and other fundamental measures do not fully describe a company. The examples also appear to reverse the stated buy-versus-sell quantity comparison in places, and the market-value units require verification. The screen therefore needs data-definition checks and empirical testing before use.

Key ideas

• The proposed screen combines amplitude above 1%, robot-theme membership, and market capitalization below 10 billion yuan.
• It uses first-level displayed order quantities as a measure of buying versus selling interest.
• The post suggests adding valuation and profitability filters to the screen.
• It warns that high volatility, transient order-book data, and incomplete fundamentals can mislead.
• The code examples do not consistently match the stated order-quantity comparison.

Tags

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