MACD and Order-Book Imbalance for a Daily Stock Screen

Summary

This document outlines a daily stock selection method that keeps shares with MACD above its zero line, ranks candidates by reported popularity, and requires first-level bid volume to exceed ask volume. Selection is intended to take place after each trading day. The article provides MACD calculation components, a bid-volume share filter above one half, and example code that also ranks by popularity and the change in the signal line.

The rationale is that positive MACD may indicate a short-term upward trend, while popularity and stronger displayed buying interest may identify actively watched stocks with demand. The article cautions that these signals omit company fundamentals, intraday price movement, and broader market sentiment; order-book volume may not reliably translate into investment outcomes. It proposes adding financial data and liquidity measures, or analyzing the factors with machine learning. No backtest results or evidence of predictive performance are presented, and the code example's conditions do not exactly match every part of the written rule.

Key ideas

• The screen combines positive MACD, popularity ranking, and greater best-bid than best-ask volume.
• The proposed selection is performed after each trading day.
• The example code ranks candidates using popularity and the change in the MACD signal line.
• The article warns that displayed order-book imbalance may not reliably predict investment outcomes.
• Fundamental, liquidity, and broader market factors are suggested as additional filters.

Tags

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