A Stock Screen Combining Turnover, Large-Order Flow, and Weekly MACD

Summary

This Chinese stock-screening note describes a technical strategy that filters for shares with turnover between 3% and 12%, a positive product of the daily price change and net large-order volume, and weekly MACD above zero. It presents the screen as a way to combine trading activity, large-order flow, and trend direction. Formula and Python examples illustrate how the conditions might be represented, though their indicator definitions and data fields may require adjustment for a particular platform.

The document supplies no backtest, performance figures, or comparative evidence for the screen. It cautions that technical signals do not assess company fundamentals and may select stocks with weak underlying businesses; reliance on indicators can also make selections unstable and expose traders to above-average risk. It suggests adding valuation, earnings-quality, capital-flow, and industry measures. The rules are therefore a candidate screening method, not evidence of an effective trading strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• It combines daily price change with net large-order volume and requires their product to be positive.
• Weekly MACD must be above zero.
• The examples may need adaptation to the platform’s data fields and indicator conventions.
• The note warns that technical screening omits fundamentals and provides no performance evidence.

Tags

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