Combining MACD, Order-Flow Ratio, and Dividend Screening for Stocks

Summary

This proposed stock screen combines three filters: MACD above its zero line, a ratio of external to internal trading volume above a stated threshold, and a dividend payout measure above a stated level for 2019. The accompanying discussion treats MACD as a momentum signal, the volume ratio as an indication of buying pressure, and the dividend measure as a way to identify companies with substantial distributions. It also suggests considering valuation, earnings quality, volatility, and the relative influence of the filters.

The document provides formula and Python examples for applying the conditions, but no backtest, performance results, or validation that the inputs are measured consistently. Its example code appears to use a single day of closing-price data to calculate MACD, which is inadequate for a conventional MACD calculation, and its volume-ratio formula may not match the stated external-to-internal volume ratio. The dividend field and historical screening date also require verification. Treat the screen as an untested starting point, not an established strategy.

Key ideas

• The screen requires MACD above zero, a volume ratio above its threshold, and a 2019 dividend measure above its threshold.
• The source frames these filters as momentum, buying-pressure, and dividend criteria.
• It recommends adding fundamental and volatility measures and avoiding reliance on a single filter.
• The supplied code and formulas need validation, and the document reports no backtest evidence.

Tags

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