Screening Stocks with Positive MACD, Bid-Ask Volume Imbalance, and a Gap Limit

Summary

This note proposes selecting stocks with MACD above zero, displayed best-bid volume greater than best-ask volume, and a 9:25 a.m. price change below 6%. The MACD condition is intended to identify positive momentum, while the order-book volume comparison is used as a simple measure of buying interest. The pre-open price filter limits the size of the observed move. The article includes a formula reference and a code sketch that loops through securities, checks these signals, and allocates cash across selected names.

The document reports no backtest or measured results. It acknowledges that the screen omits fundamentals, may exclude stocks with larger potential moves, and may miss sector opportunities. Its code uses a prior-minute open and close comparison as a proxy for the stated 9:25 price-change condition, which may not implement the same timing or definition. The signals therefore need precise data definitions and validation, and the screen alone does not establish a risk-managed trading strategy.

Key ideas

• The proposed screen combines positive MACD, greater best-bid than best-ask volume, and a morning price-change ceiling.
• The article interprets the indicators as momentum, buying interest, and a limit on opening strength.
• No historical performance evidence is provided for the combined conditions.
• The code’s prior-minute price comparison may differ from the stated 9:25 a.m. filter.
• Fundamental context and explicit risk controls are left for further development.

Tags

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