Stock Screening with RSI, Order Book Imbalance, and Weekly MACD

Summary

This note describes a Chinese A-share screening rule combining three conditions: a 14-period RSI below 65, displayed buy-side volume greater than sell-side volume, and weekly MACD above zero. It presents these as a blend of price momentum, order book sentiment, and a longer-term trend filter, with example formula and Python implementations. The stated rationale is that the conditions may identify stocks with potential upside, but the document provides no backtest results or performance evidence.

The author cautions that the screen relies heavily on technical measures and sentiment while omitting company fundamentals and macroeconomic conditions. It may also miss stocks after sharp advances or during pullbacks, and the text warns against indiscriminate chasing or selling. Suggested refinements include adding other indicators, fundamental inputs, and cycle analysis, then adjusting the selection rules. The implementation examples should be treated cautiously: they do not demonstrate that the weekly MACD is actually calculated from weekly data, and no trading, sizing, or exit rules are specified.

Key ideas

• The screen requires RSI below 65, buy-side displayed volume greater than sell-side displayed volume, and weekly MACD above zero.
• The strategy combines a momentum measure, an order book condition, and a weekly trend filter.
• The document gives example implementations but reports no empirical performance evidence.
• The approach omits fundamentals and macroeconomic conditions and may overlook pullbacks or other opportunities.
• The author suggests adding more indicators, fundamental factors, and cycle analysis.

Tags

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