Stock Screening by Turnover, Order-Book Imbalance, and Lower Lows

Summary

This Chinese stock-screening note describes selecting equities with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a current daily low below the previous day’s low. The turnover band acts as a liquidity filter, the order-book comparison represents near-touch buying and selling interest, and the lower low adds a price condition. The note presents this as a selection rule rather than a complete entry-and-exit strategy.

It offers no performance data, backtest, or evidence that the filters predict returns. The author warns that changing market conditions can make the selections inaccurate and suggests combining the screen with fundamentals such as valuation ratios and adjusting it as conditions change. The note includes no usable indicator formula or Python implementation, so it does not specify details such as when to evaluate the order book, how to execute trades, or how to manage risk.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks where first-level bid volume exceeds first-level ask volume.
• A current daily low below the previous day’s low is the price condition.
• The note provides no backtest or defined trade management rules.

Tags

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