Stock Screening with Amplitude, Turnover, and Best-Level Bid Volume

Summary

This Chinese equity screen selects stocks with daily amplitude above 1, turnover between 2% and 9%, and displayed first-level bid volume greater than first-level ask volume. The article frames amplitude and turnover as activity and liquidity measures, with the order-book comparison intended to represent relative buying and selling pressure. It includes formula and Python examples for applying these filters.

The post cautions that sudden market events can affect the signals, liquidity measures can be manipulated, and the screen omits company fundamentals. It recommends adding financial and technical context, along with risk controls and position management. The examples contain inconsistencies: one code condition reverses the stated bid-versus-ask comparison, and the turnover and amplitude calculations may not match the prose definitions. No backtest or evidence of predictive performance is supplied, so the conditions should be validated against reliable point-in-time data before use.

Key ideas

• The screen requires amplitude above 1 and turnover between 2% and 9%.
• It uses first-level bid volume exceeding first-level ask volume as a buying-pressure filter.
• The article warns that order-book and liquidity signals can be affected by manipulation or market shocks.
• The example code contains a bid-ask condition inconsistent with the stated selection rule.
• No historical performance results are provided.

Tags

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