Stock Screening with Turnover, Bid-Ask Imbalance, and Bollinger Bands

Summary

This document describes a Chinese equity screening rule combining trading activity, order-book depth, and price position within Bollinger Bands. It selects listed stocks with turnover between 3% and 12%, greater buy-one than sell-one volume, and a close above the middle band but below the upper band. The final rule ranks qualifying stocks by price change and takes up to 50. The article includes example implementations, though their data fields and filters do not align consistently with the prose description.

The stated rationale is to find active stocks with buying interest and a price showing short-term strength. The document offers no backtest or performance evidence. It cautions that technical indicators may mislead, the screen emphasizes short-term movement over fundamentals, and the resulting stocks may be volatile. It suggests combining technical and fundamental criteria and using periodic rebalancing or profit-taking, but provides no tested parameter choices or evidence that these adjustments improve results.

Key ideas

• The screen requires turnover between 3% and 12% and buy-one volume above sell-one volume.
• It selects stocks whose close lies between the middle and upper Bollinger Bands.
• Qualifying stocks are ranked by price change, with up to 50 selected.
• The article provides no performance test and warns that the technical focus may select volatile stocks.

Tags

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