Stock Screening with MACD, Intraday Volume Imbalance, and 2021 Returns

Summary

This Chinese stock screening example selects shares with MACD above zero and a ratio of external to internal trading volume greater than 1.3, with the universe restricted to 2021. Qualifying stocks are ordered by their individual price gains, highest first. The intended combination uses a positive MACD reading as a trend filter and a volume-side ratio as a measure of buying versus selling activity.

The document offers formula and Python examples, but no backtest results or evidence that the screen predicts returns. It acknowledges risks from omitting company fundamentals, long-term trend context, and pullback risk, and suggests adding fundamental data, broader return windows, or other indicators. The examples also leave important implementation details unclear: the volume ratio's data definition and timing need verification, and the code's data dates and stated 2021 selection period appear inconsistent. The method therefore requires careful specification and testing before it can be evaluated reliably.

Key ideas

• The screen requires MACD above zero and external-to-internal volume above 1.3 during 2021.
• Qualifying stocks are ranked by price gain in descending order.
• The proposed rationale combines a trend indicator with a trading-volume imbalance measure.
• The text warns that fundamentals, longer-term trends, and reversal risk are not captured.
• The sample code's timing and volume data require verification against the stated screening logic.

Tags

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