A Stock Screen Combining Turnover, Order Flow, and MACD

Summary

This Chinese equity screen combines a turnover-rate band with a ratio of trading volume initiated by buyers to volume initiated by sellers, then requires MACD to be above zero and rising. The stated selection rule uses turnover between 3% and 12% and an outside-to-inside volume ratio above 1.3. The accompanying Python example also applies a recent volume-spike condition and ranks qualifying stocks with a formula based on average turnover, average volume, and the latest price.

The rationale is to constrain liquidity and trading costs while favoring stocks with positive trend momentum and stronger buying pressure. The article warns that indicator-only screening ignores company fundamentals and that MACD can be distorted by short-term price moves. It suggests adding fundamental measures and combining indicators, but supplies no backtest results, transaction-cost estimates, or evidence that the extra ranking formula improves returns. The source title and opening wording differ slightly from the detailed final rule, so the explicit rule is the clearest description of the intended screen.

Key ideas

• The stated screen requires turnover between 3% and 12%, buyer-initiated volume above seller-initiated volume by the specified ratio, and positive MACD.
• The Python example adds a recent volume increase and ranks selected stocks using turnover, volume, and price.
• The indicators aim to capture liquidity conditions, buying pressure, and upward momentum.
• The article identifies omitted fundamentals and short-term indicator noise as limitations.
• No performance evaluation is provided to validate the screen or its ranking method.

Tags

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