Stock Screening with Price Range, Weekly MACD, and Order Book Imbalance

Summary

This article outlines a stock screen using three conditions: daily high-low amplitude above 1%, weekly MACD above its zero line, and first-level bid volume greater than first-level ask volume. The intended combination uses price movement and trend indicators alongside order book information to identify shares with potential upward strength. The article includes formula references and a Python example that retrieves stock and weekly data, calculates MACD, and checks the top-of-book volume comparison.

The implementation is only an illustrative reference. Its Python example also applies a universe filter and evaluates average weekly amplitude, so it does not directly mirror every stated condition. The article provides no backtest, performance statistics, or evidence that the screen predicts gains. It notes that market, policy, industry, and volatility changes can weaken results, and suggests combining the screen with additional technical and fundamental analysis. The conditions and data handling would need careful specification and validation before practical use.

Key ideas

• The proposed screen combines amplitude above 1%, positive weekly MACD, and bid volume exceeding ask volume.
• The stated rationale combines trend and price movement with order book sentiment.
• The code example includes additional filtering and differs in some details from the prose conditions.
• No performance testing or outcome statistics are provided.
• The article recommends broader analysis while acknowledging market and stock-specific risks.

Tags

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