A Stock Screen Combining Turnover, Order Flow, Weekly MACD, and Price Strength

Summary

The document describes a Chinese stock selection rule that looks for turnover rates from 3% to 12%, an outside-volume to inside-volume ratio above 1.3, and a weekly MACD condition above zero. Its accompanying formula and Python example also require a Friday observation and a recent high above the prior 30-bar low, adding timing and price-strength conditions to the screen.

The author frames the filters as proxies for trading activity, buying pressure, and an upward trend, but provides no backtest, return data, or comparison with a baseline. The article cautions that technical screening can miss weak fundamentals and sentiment-driven volatility, and suggests combining it with fundamental and sentiment analysis. The rule is therefore a candidate screening recipe, not demonstrated evidence of a profitable or robust strategy; the text also varies in how it describes the MACD condition and turnover bounds.

Key ideas

• The screen targets stocks with turnover rates between 3% and 12% and an outside-to-inside volume ratio above 1.3.
• It uses a weekly MACD condition as a trend filter.
• The code examples add a Friday check and compare the latest high with a recent rolling low.
• The article recommends considering fundamental and sentiment factors alongside technical filters.
• No performance evidence is provided, and the criteria are not fully consistent across the text and examples.

Tags

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