Stock Screen Using Recent Gains, Volatility, and Bid-Ask Queue Imbalance

Summary

This stock screen looks for daily amplitude above 1%, a positive 10-day return below 35%, and displayed best-bid volume greater than best-ask volume. The article frames the return band as a way to find stocks that have risen without exceeding its chosen threshold, while the order-book condition is treated as a sign of buying support. It includes a Python example for filtering price data and quote volumes; no indicator formula is provided.

The article offers rationale for the criteria but no empirical results or backtest. It cautions that bid-side volume can change quickly and that the screen overlooks other important company fundamentals. It proposes combining the conditions with additional indicators and company or industry analysis. Because the method relies partly on a snapshot of displayed order-book volume, the article does not show whether the apparent imbalance persists or predicts subsequent returns.

Key ideas

• The screen requires daily amplitude above 1%, a positive 10-day return below 35%, and best-bid volume above best-ask volume.
• It combines a volatility filter and a bounded recent-return filter with displayed order-book imbalance.
• The article gives a Python illustration but no performance evidence or formula reference.
• It warns that quote imbalance may not persist and that fundamental factors are omitted.

Tags

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