Stock Screening with Turnover, Order Book Imbalance, and MACD

Summary

This stock screen combines three conditions: turnover between 3% and 12%, first-level bid volume greater than ask volume, and MACD above zero with DIF above DEA. The document presents the combination as a way to find shares with moderate trading activity, visible buying interest, and positive momentum. It gives example indicator formulas and a Python outline that filters market data, daily turnover, and MACD readings before joining the results.

The discussion offers a rationale but no backtest, performance figures, or evidence that the criteria improve returns. It identifies volatility control as its main risk consideration and notes that policy and broader market uncertainty are not addressed. It suggests adding other indicators or industry filters, but provides no tested refinement. The stated turnover thresholds and order book snapshot may be sensitive to market, timing, and data conventions, so the screen should be treated as a selection rule rather than a demonstrated strategy.

Key ideas

• The screen requires turnover from 3% to 12%.\nIt keeps stocks whose best bid volume exceeds best ask volume.\nIt requires MACD to be positive and DIF to exceed DEA.\nThe document gives formulas and a sample data-filtering workflow but no performance test.\nPolicy and broader market risks are outside the screen’s stated controls.

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