MACD and Order-Flow Filters for 2021 Chinese Stock Selection
Summary
The document describes a Chinese equity screen combining a positive MACD condition with daily price change and large-order net flow, restricted to 2021. Its accompanying example computes MACD from closing prices and derives price change and net flow before selecting stocks that pass the conditions. The source gives formulas and sample code, but it does not report screening results, backtest performance, or a defined ranking and portfolio rule.
The discussion cautions that a calendar-year restriction can miss longer-term trends, technical signals and order-flow measures may be short-lived or misleading, and price and net-flow signals need broader context. It recommends considering fundamentals and longer-term trends, while acknowledging the need to adapt the rules. The code is illustrative and relies on specific data fields and indicator settings; the document offers no evidence that this screen is profitable or robust.
Key ideas
- The screen combines MACD above its zero line with positive daily price change and positive large-order net flow.
- The selection universe is restricted to stocks during 2021.
- The document provides formulas and example code but no performance results or portfolio construction method.
- Short-term technical and flow signals can mislead and should be assessed alongside longer-term trends and fundamentals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.