Screening Chinese Stocks with MACD, Price Gains, and Large-Order Flow

Summary

The post proposes a Chinese equity screen combining a positive MACD reading, positive price change and net large-order flow, and a positive but capped ten-day gain. It gives formulas for MACD, daily price change, large-order net volume, and the ten-day return, along with sample Python code intended to identify qualifying stocks. The screen mixes trend and recent momentum conditions with an order-flow measure.

The accompanying discussion suggests adding broader context and recognizing that short-term indicators can mislead, but it provides no backtest results or evidence that the screen predicts returns. There are also implementation inconsistencies: the prose refers to super-large orders while the example uses large-order fields, and the displayed ten-day formula’s direction conflicts with the conventional gain definition elsewhere in the text. The sample data field availability and indexing should also be checked before use. Treat the rules as a starting point for research, and validate definitions, timing, and out-of-sample behavior before drawing conclusions.

Key ideas

• The proposed screen requires MACD above zero, positive daily price change and net large-order flow, and a positive ten-day gain below a stated ceiling.
• The post combines trend, momentum, and order-flow conditions in a Chinese stock selection rule.
• Its formulas and sample code should be reconciled because the ten-day return expression and order-size terminology are inconsistent.
• No backtest or evidence of predictive performance is provided, so the screen requires independent validation.

Tags

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