Stock Screening by Turnover, Buy-Sell Volume Imbalance, and Prior Limit-Up Status

Summary

This Chinese stock screen selects shares with turnover between 3% and 12%, an external-to-internal traded-volume ratio above 1.3, and no limit-up close on the previous day. The post describes these criteria as a way to combine liquidity, buying pressure, and recent price behavior for a short- to medium-term selection process. It includes formula and Python examples that implement the turnover and volume-ratio thresholds and exclude certain recent limit-up conditions.

The document offers no backtest, performance results, or evidence that the selected conditions predict returns. It notes that the filters may omit strong stocks because of recent price moves or weaker-looking trends, and recommends adding trend, fundamental, and technical analysis. The volume ratio is presented as a buying-pressure proxy, but the post does not discuss its data quality or how the measure behaves across different securities. The screening rules are therefore a basic candidate filter, not a complete trading strategy.

Key ideas

• The screen requires turnover between 3% and 12% and an external-to-internal volume ratio above 1.3.
• It excludes stocks meeting specified recent limit-up conditions.
• The proposed rationale is to combine liquidity, buying pressure, and trend-related filters.
• The post provides implementation examples but no performance evaluation or return evidence.
• Additional technical, industry, and fundamental analysis is suggested to address the screen’s limited scope.

Tags

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