A-Share Screen Combining MACD, Institutional Buying, and Volume Ratio
Summary
The document describes an A-share selection idea combining three filters: stocks among the top 100 by volume ratio, stocks among the top 10 for institutional-seat purchases in exchange trading data, and a shortening MACD histogram on a 15-minute chart. The stated rationale is that elevated trading activity and institutional buying may indicate demand, while a shrinking negative MACD histogram may signal that short-term downward momentum is easing.
The text cautions that ranking by volume ratio can miss other candidates, institutional flows can reverse, and a contracting negative histogram does not guarantee a rebound. It suggests combining the filters with turnover, transaction value, additional institutional holdings data, or other momentum indicators. The final selection rule is truncated, and the document provides no backtest results or evidence that the signals predict future returns, so the proposal remains an unvalidated screen rather than a demonstrated strategy.
Key ideas
- The proposed screen combines a high volume-ratio rank with institutional-seat purchases and a shortening 15-minute MACD histogram.
- The author interprets the MACD condition as weakening short-term downside momentum, not as confirmation of a reversal.
- Institutional buying and high relative volume can change or fail to capture the full market picture.
- The selection rule is incomplete, and the document reports no test results for the combined screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.