Screening A-Shares with MACD, Order-Book Imbalance, and Recent Limit-Ups

Summary

This note outlines an A-share selection rule that combines a positive MACD reading, greater displayed buy-one volume than sell-one volume, and more than two limit-up days in the recent ten-day window. The stated intent is to identify stocks with positive technical momentum, visible buying pressure at the best quotes, and recent market attention. It includes a MACD parameter reference and a Python-style selection and allocation example.

The document offers no backtest results or evidence that the filters predict returns. The order-book comparison is a momentary snapshot, while recent limit-ups can reflect short-lived attention and may be difficult to trade at desired prices. The note itself warns that the approach relies on technical factors and can miss company fundamentals, and that hot sectors may cool. It suggests adding other indicators or fundamental measures, adjusting thresholds to market conditions, and including risk controls. The example code’s limit-up detection and trading assumptions would need careful validation before use.

Key ideas

• The screen requires MACD above zero and displayed best-bid volume greater than best-ask volume.
• It also requires more than two limit-up days in the recent ten-day period.
• The combination is intended to find positive momentum and currently popular stocks, but the note supplies no performance evidence.
• Snapshot order-book data and rapidly fading market attention can make the filters unreliable.

Tags

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