Stock Screening with Turnover, Bid-Ask Queue Imbalance, and a Weekly Moving-Average Cross

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, displayed first-level bid volume greater than ask volume, and a weekly five-period moving average crossing above the ten-period average. The note describes these filters as proxies for trading activity, order-book demand, and a short-term trend change. It then limits the candidate list to 20 stocks and includes example implementations using market and price data.

The article cautions that the screen omits other technical and fundamental factors, which may make its selections unreliable. It proposes considering valuation measures, additional indicators, and data-driven modeling, but offers no empirical performance evidence. The code examples also refer to specific dates and data fields, so they should not be assumed to provide a reproducible or live-ready process without checking data definitions, timing, universe selection, and execution assumptions.

Key ideas

• The screen combines a 3%–12% turnover range with first-level bid volume exceeding ask volume.
• It requires the weekly five-period average to cross above the ten-period average.
• The proposed output is capped at 20 stocks, although the ranking method is not explained.
• The note gives no performance evidence and warns that omitted factors can bias selections.

Tags

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