Screening Chinese Stocks with Volatility, Short-Term MACD, and Large-Order Flow

Summary

This document describes a stock screen combining a price-range threshold, a shortening negative MACD histogram on a 15-minute chart, and a high large-order net-volume ranking. The stated rationale is to find shares with elevated movement, a possible change in price direction, and signs of institutional buying. It also suggests adding fundamental and technical measures, such as valuation ratios and moving averages, and adjusting the screen to market conditions and risk tolerance.

The document provides example indicator formulas and Python snippets, but they do not fully establish a consistent implementation. In particular, the code uses turnover ratio as a proxy for amplitude and compares volume with its moving average as a proxy for large-order flow. No backtest or performance evidence is provided. The author cautions that large-order rankings may be vulnerable to manipulation and that market conditions change, so the screen should not be treated as a standalone investment rule.

Key ideas

• The screen combines a price-range threshold, a shortening negative 15-minute MACD histogram, and a high large-order net-volume ranking.
• The proposed rationale links price movement with possible trend change and buying pressure.
• The document recommends combining the screen with fundamental and other technical measures.
• Large-order rankings may be manipulated, and changing market conditions limit the screen's reliability.
• The code examples use proxies that do not exactly match all the stated screening conditions.

Tags

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