Screening Chinese Stocks with Amplitude, MACD, and Large-Order Flow

Summary

This stock screen combines daily price amplitude above one, MACD above its zero line, and large-order net volume above 0.05 for at least three consecutive days. The rationale is that amplitude and MACD describe price movement and trend, while sustained positive large-order flow may indicate investor attention and buying pressure. The document includes example indicator expressions and a Python-style outline for filtering stocks.

The author warns that the large-order data may be selected incorrectly and that the screen omits company fundamentals. Suggested refinements include adding sector data and news information. No backtest, performance evidence, or trading rules for entry, exit, and position sizing are provided, so the proposed expectation of future gains is unsubstantiated in the document.

Key ideas

• The screen requires price amplitude above one and MACD above zero.
• It also requires large-order net volume to exceed 0.05 for at least three consecutive days.
• The stated rationale links positive order flow with investor attention and possible buying pressure.
• The author notes potential data errors and the omission of company fundamentals.
• The document provides no backtest or evidence of realized performance.

Tags

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