Stock Screening with Turnover, Order-Book Imbalance, and Moving-Average Alignment

Summary

This A-share screening idea combines turnover between 3% and 12%, a larger best-bid queue than best-ask queue, and at least five moving averages aligned either upward or downward. The article interprets the turnover and queue conditions as liquidity-related filters and the moving-average alignment as evidence of a pronounced trend. It does not specify which moving-average periods to use or how alignment is measured.

The post warns that the screen omits important fundamental information and may select financially risky companies. It recommends adding valuation or other fundamental filters and adjusting the rules to market conditions. No formula implementation, Python example, backtest, or return evidence is supplied, and the selection criteria alone do not define trade timing, position sizing, or exits. As a result, the screen describes a candidate-generation concept rather than a complete or tested strategy.

Key ideas

• The proposed screen requires turnover between 3% and 12% and a larger best-bid than best-ask quantity.
• It also looks for at least five moving averages aligned in either direction.
• The post associates the alignment with a clear trend but does not define the averaging periods.
• It cautions that fundamental risks are not covered and provides no performance evidence.

Tags

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