Chinese Stock Screening with Positive MACD, Order Flow, and an Opening-Gap Cap

Summary

This Chinese stock screen combines a positive MACD reading, a ratio of outside to inside trading volume above 1.3, and a 9:25 gain below 6%. Qualifying stocks are ranked by their individual price gains. The article discusses the early-session cap as a way to limit exposure to large opening moves and suggests testing alternative thresholds and MACD settings. It also describes a formula and a Python example, but these do not consistently implement the stated rules: the formula uses several volume and money-flow filters, while the Python example divides morning volume by afternoon volume and includes additional conditions.

The post provides no backtest, performance figures, or evidence that the screen predicts returns. The timing and definitions of the volume measures are especially important to validate, and the code's data requests and calculations may not match the intended 9:25 signal. The screen is therefore a candidate for testing, with execution timing, data availability, and transaction costs still unresolved.

Key ideas

• The stated screen requires MACD above zero, an outside-to-inside volume ratio above 1.3, and a 9:25 gain below 6%.
• Eligible stocks are ranked from highest to lowest by individual price gain.
• The article recommends testing threshold ranges and MACD parameter settings.
• Its formula and Python example introduce conditions that differ from the prose strategy.
• No performance results are provided, and the signal definitions require validation.

Tags

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