Chinese Equity Screening with MACD, Moving Averages, and Order Book Volume

Summary

This stock screen selects shares when MACD is above zero, the five-day moving average crosses above the ten-day average, and first-level bid volume exceeds ask volume. The article presents the conditions as a combination of trend signals and a measure of near-term buying pressure. It includes indicator formulas and a Python example that calculates MACD and moving averages from historical prices, then compares displayed bid and ask quantities.

The post describes the rules and suggests adding further technical and market data filters, fundamental information, and risk controls. It warns that abnormal volatility may distort indicator signals and that selected stocks can still carry substantial price risk. No backtest, execution method, transaction costs, or evidence of predictive performance is supplied. The sample implementation also joins historical indicator conditions with current market information, so the timing and alignment of those inputs would need careful review before using the screen in a systematic process.

Key ideas

• The screen requires MACD to be positive and the five-day average to cross above the ten-day average.
• It also requires first-level bid volume to exceed first-level ask volume.
• The signals combine price trend measures with a snapshot of order book pressure.
• The article warns that volatility can weaken indicator reliability and selected shares may be risky.
• No performance results or trading-cost analysis are provided.

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