Combining Positive MACD, Bid-Ask Volume Imbalance, and Past Performance

Summary

The proposed stock screen looks for a MACD reading above zero, greater displayed buy-one volume than sell-one volume, and favorable performance during 2021. It describes these conditions as combining trend direction, near-touch order-book activity, and a historical price filter. A reference MACD configuration is provided, along with sample code that checks the current tick imbalance and attempts to identify stocks whose 2021 closing price exceeded earlier closes in the sample.

The document supplies no measured returns or backtest results, so its reference to past performance is not evidence of future effectiveness. It also warns that historical results may not persist, that the criteria omit other technical and fundamental information, and that focusing on active buying and selling can raise trading costs or risk. The sample’s historical window and performance test require careful review, especially if the strategy is meant to run outside the period it uses. No position exits or transaction-cost treatment are explained.

Key ideas

• The screen requires MACD to be above zero and best bid volume to exceed best ask volume.
• It adds favorable performance during 2021 as a historical filter.
• The sample combines daily indicator data with current tick volume information.
• No backtest results, exit rules, or transaction-cost analysis are provided.

Tags

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