A Stock Screen Combining RSI, Order Book Imbalance, and 15-Minute MACD

Summary

This Chinese-language strategy post proposes screening equities with three conditions: RSI below 65, best bid volume greater than best ask volume, and a shrinking negative MACD histogram on a 15-minute interval. The intended interpretation is that buying pressure is stronger at the top of the book while downside momentum is weakening. The post also excludes a specified market-board category in its formula example.

The document supplies indicator formulas and sample implementations, but no backtest, transaction-cost analysis, or evidence of profitability. It characterizes the signals as technical selection criteria and acknowledges that they do not capture company fundamentals; it also warns that relying on a narrow set of indicators can leave the selection universe too limited. It suggests broadening the screen with valuation and profitability factors. The exact relationship between a shrinking negative histogram and the formula’s comparison is not carefully reconciled, so implementation should verify the indicator convention and signal timing before use.

Key ideas

• The screen combines RSI below 65 with greater best-bid than best-ask volume.
• It looks for a contracting negative MACD histogram on a 15-minute interval.
• The proposed rationale is that buying pressure accompanies weakening downside momentum.
• The post provides formula examples but no performance or cost evaluation.
• It warns that technical signals omit company fundamentals and suggests using multiple factors.

Tags

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