Screening Chinese A-Shares with Turnover, Order Flow, and MACD

Summary

This stock-selection example combines a turnover-rate band of 3% to 12%, the sign of daily price change multiplied by large-order net flow, and a MACD condition. The stated interpretation is that the turnover filter selects a desired level of activity, while the price-change and net-flow product checks whether large-order flow is aligned with the day's move. A MACD condition is intended to favor stocks with positive momentum. The document includes reference implementations for screening mainland Chinese shares and describes related data fields needed to evaluate candidates.

The author notes that the screen may depend heavily on changing sector attention, omits company fundamentals, and inherits MACD's lag. Suggested extensions include fundamental measures and other technical indicators. The examples are not fully consistent: the MACD condition in the written rule, formula, and Python reference differs, and the Python logic uses recent indicator comparisons rather than simply requiring MACD above zero. No backtest methodology or performance evidence is supplied, so the screen should be treated as a candidate-generation rule, not a validated strategy.

Key ideas

• The screen filters stocks by a turnover range and aligned price-change and large-order flow signs.
• A MACD condition is intended to favor stocks with positive momentum.
• The article identifies sector dependence, missing fundamentals, and MACD lag as limitations.
• The written rule and code examples implement different MACD conditions.
• No evidence is provided that the screening rule produces profitable results.

Tags

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