Stock Screening with Intraday MACD, Amplitude, and Order-Book Imbalance

Summary

This screening proposal combines three conditions: amplitude above 1, a shortening negative MACD histogram on a 15-minute interval, and first-level bid volume greater than first-level ask volume. The note interprets the range condition as a way to find active stocks, a shrinking negative histogram as a possible change in momentum, and the order-book comparison as a sign of relatively positive immediate demand. Example formulas and a data workflow illustrate how the filters might be assembled.

The author cautions that high-amplitude stocks can move unpredictably, a contracting negative histogram does not guarantee a reversal, and displayed bid and ask sizes alone do not establish future strength. It proposes considering additional order-book measures or model-based analysis, while emphasizing risk control. The examples do not demonstrate predictive accuracy or trading performance, and their data fields and calculations would need verification; for instance, the sample amplitude filter uses turnover ratio. No backtest or results are supplied.

Key ideas

• The proposed screen requires amplitude above 1, a contracting negative 15-minute MACD histogram, and bid volume exceeding ask volume.
• The note treats histogram contraction as a possible momentum change, not a guaranteed reversal.
• Large amplitude and displayed order-book sizes can each produce misleading signals.
• The example implementation uses turnover ratio for its amplitude filter, so the calculation should be checked.
• No predictive or backtest results are presented.

Tags

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