Stock Screening with Amplitude, Turnover, and Bid–Ask Queue Volume
Summary
This article proposes a Chinese equity screening rule combining three conditions: daily price amplitude above 1, prior-day actual turnover between 3% and 28%, and displayed best bid volume greater than best ask volume. It interprets the larger bid queue as a sign of stronger buying pressure and suggests selecting stocks that meet all three filters. The document also sketches indicator and data-feed implementations, but they are examples requiring adjustment to the data source and platform.
No backtest, trade sample, or performance evidence is provided. The article itself cautions that the filters may select stocks randomly and that order-book imbalance, amplitude, and turnover alone do not establish investment value. It recommends adding price, volume, fundamental, and market-trend measures for broader screening. The rule is therefore best read as a preliminary selection heuristic; it does not specify entry timing, exits, position sizing, or risk controls, and its order-book signal may be transient.
Key ideas
- The proposed screen requires amplitude above 1, prior-day actual turnover from 3% to 28%, and best bid volume above best ask volume.
- A larger displayed bid queue is treated as evidence of buying pressure.
- The document supplies example implementations but no backtest or performance results.
- It warns that the selected indicators alone can produce random or mistaken selections.
- It recommends combining price, volume, fundamentals, and market trend in further screening.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.