A Turnover, Order-Flow, and MACD Stock Screening Rule

Summary

This document describes a daily Chinese equity screen combining three conditions: turnover between 3% and 12%, the product of price change and net large-order volume above zero, and MACD above zero. It presents the rule as a way to select stocks with directional price behavior, with turnover ranking used in the sample selection logic. A Python example further applies a recent volume surge filter and returns a limited list ranked by a computed weight.

The article argues that MACD may help identify short- to medium-term trends, but warns that indicator signals can misread turning points and that the screen omits fundamental analysis. Market sentiment and changing market conditions can affect results. It suggests combining additional indicators and adjusting risk controls, but provides no backtest results or performance evidence; the code examples also express some screening details differently, so implementations should be checked against the stated rule.

Key ideas

• The screen requires turnover within a specified band, positive interaction between price change and large-order net flow, and positive MACD.
• The accompanying Python example adds a recent volume increase condition and ranks candidates by a weight.
• MACD is presented as a trend filter but may misidentify market turning points.
• The rule omits fundamentals and may be sensitive to sentiment and market regime.

Tags

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