Selecting Chinese Stocks by Turnover, Order Book Imbalance, and Recent Limit-Ups

Summary

This stock screen selects Chinese equities with turnover between 3% and 12%, greater displayed buy-one volume than sell-one volume, and at least one limit-up event during the prior 25 days. The rules combine trading activity, a snapshot of top-level order-book imbalance, and recent price strength. The document presents the recent limit-up condition as a sign of market attention and proposes that the combined filters may identify stocks with short-term upward momentum.

The post does not include indicator formulas, implementation code, backtest results, or evidence that the selection rules improve returns. It notes that the screen may omit stocks without recent limit-ups and may perform poorly when past strength fades or the broader market weakens. It suggests adding other technical or fundamental checks, but does not specify how to combine them. The rules are therefore a screening idea rather than a validated trading system.

Key ideas

• The screen requires turnover between 3% and 12% and greater best-bid than best-ask volume.
• It also requires a limit-up event within the preceding 25 days.
• The rules combine activity, order-book imbalance, and recent price strength.
• The document provides no code or performance evidence and warns that reliance on past strength can fail.

Tags

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