Stock Screening with Turnover, Bid Ask Imbalance, and a 30-Day Average
Summary
The post proposes screening stocks for turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and price above its 30-day moving average. It frames the turnover and order-book conditions as measures of trading activity, while the moving-average filter is intended to select stocks showing an upward trend. The post also gives example implementations using a charting formula and Python with market data.
No performance results or backtest details are provided. The author cautions that the screen relies only on technical factors and could still select stocks that fall sharply, and suggests incorporating fundamental and industry information. The sample code is illustrative; the description does not explain data timing, execution assumptions, universe selection, or how the turnover and order-book fields are defined, which limits reproducibility and evaluation.
Key ideas
- The screen combines a turnover range of 3% to 12% with bid volume exceeding ask volume.
- It requires the stock price to be above its 30-day moving average.
- The post offers charting-formula and Python examples but no performance evaluation.
- The author notes that technical filters alone cannot prevent large price declines.
- Fundamental and industry factors are suggested as possible additions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.