Combining Weekly MACD and Large-Order Flow in a Stock Screen

Summary

This Chinese equity screening example combines three signals: daily amplitude above 1%, a positive weekly MACD reading, and large-order net flow above 0.05 for three consecutive days. The article describes the combination as a way to pair price activity and trend information with a measure of large trades. It includes sample indicator formula and Python logic, though their exact data definitions and implementations may differ across platforms.

The document provides no backtest, return statistics, or comparison with a benchmark, so it does not establish that the filters improve selection accuracy. It notes that market sentiment and institutional trading behavior can make price action diverge from expectations. It proposes adding financial measures such as valuation or profit data and adjusting conditions for industry characteristics. The flow threshold and MACD interpretation also depend on data conventions, making validation on the intended market and timeframe important.

Key ideas

• The screen requires daily amplitude above 1%, positive weekly MACD, and large-order net flow above 0.05 on each of three consecutive days.
• The method combines a price-activity filter, a trend signal, and an order-flow measure.
• The document supplies example implementations but does not report any backtest or trading results.
• Order flow can be an unreliable guide to future prices, and the article recommends adding fundamental measures.

Tags

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