Stock Screening with Volatility, Three Moving Average Crosses, and Order Book Imbalance

Summary

This Chinese-language post outlines an A-share selection rule that combines price range, technical signals, and top-of-book volume. It selects stocks with amplitude above 1, three technical indicators crossing upward, and first-level bid volume greater than first-level ask volume. Its example code operationalizes the technical condition with an ordering of short-, medium-, and longer-period moving averages, then returns up to a chosen number of stocks.

The rationale is that active price movement and aligned bullish indicators may help identify upward momentum, while greater bid than ask volume is treated as a sign of buying interest. The post gives no backtest, performance figures, or detailed definitions for the three crosses, so the example should not be taken as evidence of predictive value. It also cautions that order-book imbalance can have other causes and that the screen omits company fundamentals. Suggested improvements include adding liquidity measures such as trading volume or open interest and incorporating fundamental analysis.

Key ideas

• The screen combines amplitude above 1 with three bullish technical crosses and higher first-level bid than ask volume.
• The example code uses a rising hierarchy of moving averages to represent bullish alignment.
• The author frames the order-book condition as a possible sign of buying interest, not a reliable standalone signal.
• The post offers no performance evidence and notes that the screen omits fundamental information.

Tags

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