Screening Stocks by Rising Averages and Bid-Ask Imbalance

Summary

This short-term stock screen combines amplitude above 1, an upward-moving-average condition, and first-level bid volume greater than ask volume. The article interprets the filters as capturing price movement, near-term upward direction, and stronger displayed buying interest. It presents a formula and Python example, with a preliminary positive price-to-earnings screen included in the code.

No backtest or measured results are supplied. The note cautions that the criteria are sensitive to short-term market cycles and that bid and ask quantities can be affected by individual trading behavior. It recommends adding longer-term business measures and other indicators such as MACD, as well as researching industry direction and company fundamentals. The formula and code should be reconciled before implementation: the moving-average ordering is not clearly consistent with the stated upward divergence, and the formula labels amplitude with a potentially different field.

Key ideas

• The stated screen requires amplitude above 1, rising moving averages, and best-bid volume above best-ask volume.
• The article treats the conditions as short-term trend and buying-interest signals.
• The examples include a positive price-to-earnings filter, though it is absent from the stated final rules.
• No performance test or empirical evidence is reported.
• Short-term sensitivity and potential distortions in displayed order volume are identified as risks.

Tags

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