Screening Stocks by Price Range, Afternoon Large-Order Flow, and MACD

Summary

This post outlines an equity screen requiring a minimum daily high-low range, positive afternoon large-order net flow, and a positive daily MACD value. It treats the range as a sign of trading activity, the order-flow measure as an indication of capital inflow, and positive MACD as evidence of an upward trend. The post suggests adding valuation, profitability, industry, and other technical measures to broaden the screen.

The document offers indicator formulas and sample data-fetching code, but it reports no backtest, portfolio returns, or validation of the proposed thresholds. It explicitly notes that the screen emphasizes technical conditions and gives limited attention to fundamentals, and advises risk controls. Some details in the sample code and formulas may need checking before implementation, including how the afternoon flow proxy and MACD data are sourced. The stated rationale is therefore a screening hypothesis rather than evidence that the combined conditions predict returns.

Key ideas

• The proposed screen requires a minimum price range, afternoon large-order net inflow, and positive daily MACD.
• The post interprets these filters as combining volatility, order flow, and trend information.
• It recommends adding fundamental and industry measures to complement the technical conditions.
• No strategy performance evidence or validation of the selected thresholds is supplied.
• Implementation details in the sample code and formulas warrant verification before use.

Tags

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