Stock Screening with Turnover, Bid–Ask Size, and a K-Line Threshold

Summary

The proposed stock screen selects equities with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a K-line value below 20. The article characterizes these as technical conditions and suggests the combined filters may identify stocks with particular market activity and chart features. It supplies no indicator formula or executable implementation; the code section is marked as unavailable.

No backtest, sample period, or performance evidence is reported. The article cautions that a technical-only screen can miss fundamental, policy, and broader market changes. It suggests combining the filters with indicators such as RSI and MACD, fundamental inputs, and composite factors. The meaning and calculation of “K-line below 20” are not specified, and the bid and ask quantity comparison is a snapshot condition whose usefulness may depend on timing and market data quality. These gaps would need resolution before the screen could be tested consistently.

Key ideas

• The screen combines turnover between 3% and 12%, first-level bid volume above ask volume, and a K-line value below 20.
• The article gives a qualitative rationale but does not define the K-line measure or its calculation.
• No code, backtest, or performance evidence is provided.
• The stated limitation is that technical filters omit fundamental, policy, and broader market information.
• The article proposes adding other technical indicators and composite factors for further screening.

Tags

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