A Chinese Stock Screen Using Turnover, Order Book Imbalance, and MACD

Summary

The post proposes selecting Chinese stocks with turnover between 3% and 12%, greater displayed buy-side than sell-side volume at the best quote, and a positive daily MACD histogram. It frames these filters as a combination of liquidity, order-flow sentiment, and technical momentum. The post also mentions a standard MACD parameterization and gives sample Python-style screening logic using historical stock data.

The author cautions that the screen omits company fundamentals and broad market conditions, and suggests adding valuation or other financial filters while adapting to market and sector trends. The provided sample code does not clearly demonstrate that every stated condition is measured as described: its data fields and derived buy/sell quantities may not correspond to best-quote order sizes. No backtest results, execution rules, or risk controls are supplied, so the screen should be treated as an idea rather than a validated strategy.

Key ideas

• The proposed screen combines a turnover range, a best-quote buy-volume condition, and a positive daily MACD histogram.
• The post presents these filters as measures of liquidity, order-flow sentiment, and technical momentum.
• It recommends considering fundamentals and overall market or sector conditions as additional context.
• The example code does not establish that the stated order-book condition is correctly measured or that the screen is profitable.

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