A-Share Momentum Screening with MACD, Bid-Ask Volume, and a Rising Average

Summary

This note describes a technical screen for stocks whose MACD is above zero, whose best bid volume exceeds best ask volume, and whose 30-day moving average is rising. The combined conditions are intended to capture positive trend direction and near-term buying pressure. The document includes formula and Python examples, along with a simple position-allocation outline, but the implementations differ in how they measure the moving-average trend and use intraday quote data.

The author notes that technical indicators alone do not capture company fundamentals, valuation, or broader industry conditions. Suggested improvements include adding fundamental data, setting risk controls such as stop-loss and take-profit levels, and evaluating the stock pool through backtesting or simulation. No such tests or results are reported, and live bid-ask volume can be noisy and time-sensitive, so the selection rule should be validated before use.

Key ideas

• The screen selects stocks with MACD above zero, bid-side volume greater than ask-side volume, and an upward 30-day average.
• The factors combine trend direction with a snapshot of order-book buying pressure.
• The note flags missing fundamental and risk considerations.
• Backtesting or simulated trading is recommended, but no results are presented.

Tags

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