A Chinese Stock Screen Combining Turnover, Order Flow, and MACD

Summary

This document describes a short-term Chinese equity screen based on a turnover rate between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a 15-minute MACD histogram that is shrinking. The accompanying examples add filters such as elevated recent volume and price above the 60-period moving average, then rank candidates using a turnover-and-volume weight. These details make the examples broader than the stated core rule, so implementations may select different stocks depending on which version is followed.

The article offers no backtest results or performance evidence. It cautions that the screen relies heavily on technical indicators, omits fundamental factors, and may behave differently across market conditions. It suggests adding other indicators and incorporating economic or policy information, but does not test those changes. The listed criteria are therefore a screening idea, not evidence of a reliable or durable trading edge.

Key ideas

• The core screen combines a 3% to 12% turnover range with an outside-to-inside volume ratio above 1.3.
• A 15-minute MACD histogram that is getting shorter is used as an additional selection condition.
• The Python example adds volume, moving-average, and market exclusions, so it differs from the simpler stated rule.
• The document provides no performance tests and warns that technical-only selection may falter in changing markets.

Tags

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