A-Share Momentum Screen Using Order Flow and 15-Minute MACD

Summary

The post proposes screening A-share stocks using three signals: today’s increase in holdings above five percent, large-order net volume above 0.05 for at least three consecutive days, and shortening green bars on a 15-minute MACD chart. It interprets these conditions as evidence of institutional interest, sustained buying pressure, and improving short-term momentum. Its sample code also mentions filters for volume, turnover, price, and MACD, although the implementation does not consistently match the described thresholds or clearly define each calculation.

The document cautions that the screen is focused on short-term movement and could miss longer trends. It also notes that abrupt institutional buying or selling may increase price volatility, and suggests adding long-term trend measures and liquidity filters. The post supplies code-like examples but no backtest, trade records, or performance statistics. The approach should therefore be understood as an unvalidated screening proposal, with important ambiguity in how order flow and MACD conditions are measured.

Key ideas

• The proposed screen combines a daily increase-in-holdings measure, sustained large-order net buying, and a 15-minute MACD condition.
• The post interprets the three filters as signs of investor interest and improving short-term momentum.
• It warns that short-term signals can overlook longer trends and that institutional flows may coincide with sharp price moves.
• Long-term trend and liquidity measures are suggested as additional filters.
• The sample code is not accompanied by backtest evidence and does not consistently define the stated conditions.

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