Stock Screening with Turnover, Order Book Imbalance, and 15-Minute MACD

Summary

This Chinese-language post outlines an equity screening rule combining three conditions: turnover between 3% and 12%, best bid volume greater than best ask volume, and a shrinking MACD histogram on a 15-minute chart. It presents the rule both as a platform screening formula and as a Python example using market and daily data, then calculating MACD from resampled intraday prices. The post also excludes a named Chinese market board from its formula.

The rationale is to combine moderate trading activity, a buy-side order book tilt, and a short-term momentum condition. The article offers implementation examples, but no backtest results or evidence that the signals predict returns. It notes that the screen largely relies on market and technical data and may omit fundamentals. It suggests adding indicators or industry filters, though these changes are not evaluated. Data availability, formula conventions, and the difference between the stated MACD rule and the sample implementation may affect results.

Key ideas

• The screen requires turnover between 3% and 12% and greater best-bid than best-ask volume.
• It adds a 15-minute MACD condition based on a contracting histogram.
• The post gives both a platform formula and a Python implementation outline.
• The approach emphasizes price and order-flow data and may omit fundamental information.
• No performance evaluation is provided, and the suggested additional filters are untested.

Tags

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