A Chinese Stock Screen Using MACD, Large-Order Flow, and Opening Gains

Summary

This note describes a Chinese equity screening rule combining MACD above its zero line, positive price change multiplied by very large order net flow, and an opening gain below a threshold. Its proposed refinement raises the opening-gain ceiling. The document also gives indicator formulas and sample Python logic for calculating MACD, daily returns, large-order flow, and an opening price change.

The accompanying discussion warns that fixed thresholds and narrow technical filters can exclude candidates and that technical and flow measures alone are incomplete. It suggests adapting criteria to market conditions and considering market structure and company fundamentals. The examples are not a tested strategy: the prose, proposed rule, and sample code are inconsistent about the opening threshold and about what is multiplied, while the code’s data fields and intraday timestamp assumptions may not support the stated calculation. No performance evidence is provided.

Key ideas

• The screen requires MACD to be above zero and uses price movement and large-order net flow as selection inputs.
• The initial rule limits the 9:25 opening gain, while the proposed final rule uses a different ceiling.
• The document supplies indicator formulas and illustrative Python logic but does not report backtest results.
• It recommends dynamic thresholds and broader market and fundamental analysis to address omissions and changing conditions.

Tags

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