A-Share Screen Using Positive MACD, Low Price, and Persistent Large-Order Flow

Summary

This proposed Chinese stock screening rule combines a positive MACD reading, a share price below 12 yuan, and large-order net volume above 0.05 for at least three consecutive trading days. The screen is intended to run before each trading session. The document presents the conditions as a way to combine a technical trend filter, a price constraint, and a measure of buying activity. It also offers illustrative indicator formulas and sample Python screening logic, though the code and data-interface details may need adjustment.

The author describes persistent large-order activity as a possible sign of market interest, but provides no backtest, trade list, or performance statistics. The stated risks include temporary anomalies in large-order data and differences in institutional trading behavior that can make results unstable or biased. Suggested refinements include adding other flow and fundamental measures, using a longer-term stock universe, and controlling risk and volatility. The proposal is therefore a screening hypothesis, not evidence that selected stocks will outperform; data definitions and execution assumptions would need independent validation.

Key ideas

• The screen requires MACD above zero, a share price below 12 yuan, and large-order net volume above 0.05 for at least three consecutive sessions.
• It is designed to select stocks before the market opens each trading day.
• The approach combines a technical indicator, a price filter, and a trading-flow measure.
• The source warns that unusual activity and differences in institutional behavior may make the signal unstable.
• It recommends adding other flow or fundamental measures and using a broader risk-control framework.

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