Stock Screening with Turnover, Bid-Ask Imbalance, and Moving-Average Alignment

Summary

This Chinese equity screen combines three signals: daily turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and upward alignment of moving averages. The examples implement the trend condition as shorter moving averages above longer ones, then return up to 50 eligible stocks. One example also restricts the universe to listed, non-special-treatment mainland stocks and an index constituent set.

The post frames turnover as a measure of activity, bid-ask volume imbalance as a sign of buying interest, and moving-average alignment as evidence of an upward trend. It offers screening logic and sample code, but no backtest or returns to establish that the combination is predictive. The author notes that the rule omits fundamentals and market sentiment and may therefore miss relevant influences. The code examples also differ in details, so the intended data fields and exact implementation would need careful validation before use.

Key ideas

• The screen combines turnover between 3% and 12%, greater first-level bid volume than ask volume, and rising moving-average alignment.
• The described trend filter orders short- and long-term moving averages from higher to lower values.
• The examples select up to 50 stocks and include universe restrictions in one implementation.
• The post provides no performance evidence and warns that fundamental and sentiment factors are omitted.
• The sample code uses differing data fields and conditions that require validation.

Tags

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