Screening Chinese Equities with Positive MACD and Trading Activity

Summary

This post proposes a daily, end-of-day screen for Chinese equities. It first selects stocks with the MACD line above zero, then ranks candidates by a measure of stock attention and by net large-order flow. The accompanying rationale treats positive MACD as a trend filter, attention as a proxy for market interest, and large-order net flow as an indicator of institutional buying or selling. It also suggests reviewing company fundamentals alongside the quantitative screen.

The post acknowledges that the rules are simple and may omit important information. It notes that large-order rankings can be affected by market fluctuations and that attention data may be inaccurate, making results unstable. It recommends combining these inputs with market context and clearer selection rules, but supplies no backtest results or evidence that the screen improves returns. The formula and Python example provide a rough implementation reference; the example sorts by turnover before net main-fund amount, which may not exactly match the stated attention ranking.

Key ideas

• The proposed screen selects stocks with a positive MACD line after the close.
• Candidates are ranked using stock attention and net large-order flow.
• The rationale associates MACD with trend, attention with market interest, and large-order flow with institutional activity.
• The author warns that the rules are simple and that flow and attention data may be unreliable.
• No performance results are given, and the code example may not fully match the described ranking logic.

Tags

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