A-Share Screen Combining Turnover, Order-Book Imbalance, and MACD

Summary

This note proposes screening Chinese A-share stocks for turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a MACD value below zero two trading days earlier. The stated aim is to identify stocks with possible short-term upside. The article describes these as technical filters and includes formula references and a Python example, though the example does not clearly demonstrate that all data fields and timing conventions match the stated rule.

The document acknowledges that technical indicators cannot fully represent a company’s prospects and may omit fundamental conditions. It suggests adding valuation measures and other indicators, such as RSI, but offers no test results, sample definition, or performance evidence for the proposed screen. The rule is best understood as a screening hypothesis; the treatment of historical dates, order-book data, and MACD inputs would need careful verification before implementation.

Key ideas

• The proposed screen combines turnover, top-of-book bid and ask volume, and an earlier MACD reading.
• Its stated turnover range is 3% to 12%.
• The article suggests adding fundamental measures and other technical indicators.
• It warns that chart-based filters can overlook company fundamentals.
• No backtest results or performance evidence are reported.

Tags

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