MACD and Money Flow Filters for Historical Stock Selection

Summary

The document presents a Chinese stock screening idea combining a MACD condition, money flow strength ranking, and a focus on stocks that performed well during 2021. Its final stated logic adds a market capitalization floor of 10 billion yuan. The accompanying Python example also filters for positive valuation ratios and return on equity above 10, then checks recent MACD behavior and compares five-day sums of main fund inflows and outflows. Candidates that pass are ranked by average turnover ratio.

The method mixes technical, flow, size, and fundamental filters, but the description and code do not align fully. The prose describes MACD above zero and a 2021 selection period, while the example checks for a recent MACD crossover and growth through the current date. The document warns that past performance may not persist and that fundamentals could be overlooked, and suggests broader research. It provides no backtest results or evidence that the screen predicts future returns.

Key ideas

• The proposed screen combines MACD, money flow strength, historical performance, and a market capitalization threshold.
• The code checks for a recent MACD crossover and stronger recent inflows than outflows.
• Candidates are ordered by average turnover ratio after passing the other filters.
• The written conditions differ from some of the implementation details in the code.
• Past performance may not persist, and the screen may omit relevant fundamental information.

Tags

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