Stock Screening with Turnover, Bid-Ask Volume, and Intraday Drawdown

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and an intraday low that falls between 4% and 5% below the closing price. It then limits the output to the first 20 candidates. The proposed rationale is to combine trading activity, displayed order-book demand, and a recent price decline in search of short-term rebound opportunities.

The document gives sample query logic and Python-style implementation references using market detail, daily turnover, and price data. However, it does not report a backtest or explain how to rank candidates within the 20-stock limit. Its risk discussion notes that the screen emphasizes short-term price movement and omits longer-term trends and broader company factors. It suggests adding technical indicators such as RSI or KDJ and combining technical and fundamental information, but offers no evidence that these additions improve results. The thresholds and price calculation are presented as an example, not a validated signal.

Key ideas

• The screen requires turnover between 3% and 12%, bid volume above ask volume, and a specified intraday decline relative to the close.
• The stated aim is to identify possible short-term rebound candidates from active stocks.
• The example caps the selection at 20 stocks but specifies no ranking method.
• The document provides no performance test and warns that the screen omits longer-term and fundamental information.

Tags

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