Screening Stocks with Intraday MACD and Large-Order Net Flow

Summary

This stock screen combines three conditions: amplitude above a threshold, a shrinking negative MACD histogram on a 15-minute interval, and a product of price change and large-order net volume above a stated cutoff. The document interprets the amplitude condition as a way to find more volatile stocks, the MACD condition as a possible sign of a shift in price movement, and the flow measure as an indicator of buying pressure. It provides example indicator formulas and a Python-style screening workflow.

The approach is a heuristic for short-term stock selection, not a tested strategy. The document reports no backtest, sample, transaction-cost analysis, or measured predictive performance. It notes that other price drivers can affect results and advises risk controls, while suggesting additional indicators or machine learning as possible extensions. There is also a mismatch between the stated amplitude condition and parts of the code example, which filters on turnover ratio, so implementations should verify that the intended inputs and units are consistent.

Key ideas

• The screen combines price amplitude, a contracting negative MACD histogram, and a large-order flow measure.
• The flow condition multiplies price change by net volume from large orders.
• The document offers formulas and an example workflow but provides no performance evidence.
• The example code’s turnover-ratio filter does not clearly match the stated amplitude condition.
• Other market drivers and risk management remain relevant to any use of the screen.

Tags

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