Screening Stocks by Price Range, Institutional Flows, and Positive MACD

Summary

This note describes a stock screen requiring amplitude above 1, positive institutional money-flow direction, and a positive daily MACD. The conditions combine a measure of price movement, a proxy for institutional flows, and a momentum indicator intended to reflect trend strength. A formula example sums positive net fund amounts over five periods before checking the flow condition.

The note identifies market and stock-specific variation as sources of screening error and points out that MACD can lag price changes. It proposes adding indicators such as RSI and Bollinger bands, along with sector, market, and capital-flow context. Example code is included, but it uses fund-holdings data and a market-level price series in ways that may not correspond to each stock’s current institutional flows and daily MACD. No backtest results or evidence of profitability are reported; the examples should therefore be treated as illustrative rather than validated rules.

Key ideas

• The screen combines amplitude above 1, positive institutional flow, and positive daily MACD.
• The formula example aggregates positive net fund amounts over five periods to assess flow direction.
• MACD may respond late to changes, and individual stocks or market conditions can make the screen unreliable.
• RSI, Bollinger bands, and broader market or sector context are suggested as additional inputs.
• The sample code may not calculate the stated conditions consistently for each stock, and no performance evidence is given.

Tags

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