Chinese Equity Selection with MACD, Company Type, and Order-Book Imbalance

Summary

This Chinese A-share screening approach combines a positive MACD reading with company-type exclusions and a comparison of displayed buy-side and sell-side volume. The stated selection rule looks for MACD above zero, excludes several company classifications, and requires best-bid volume to exceed best-ask volume. The accompanying Python example additionally filters stocks using a capital-change data query and volume threshold, then checks for a MACD line crossover on recent 15-minute price data.

The article frames the combination as a way to join technical momentum, company characteristics, and near-term buying pressure. It cautions that MACD can turn during short-term fluctuations and that an order-book volume imbalance is temporary and does not establish future performance. It suggests adding broader financial and industry measures and examining order-book volume more carefully. No backtest, returns, or validation of the screening rules is reported, and the sample code's data fields and conditions would need to be checked against the intended data source.

Key ideas

• The screen combines MACD above zero, selected company-type exclusions, and greater displayed bid than ask volume.
• The code example checks for a recent MACD crossover using 15-minute price data.
• The article warns that indicator turns and order-book imbalances may be short-lived.
• It recommends considering financial metrics and industry conditions, but supplies no performance validation.

Tags

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