Stock Screen Combining Amplitude, Large-Order Flow, and 15-Minute MACD

Summary

This short-term A-share screen combines three conditions: amplitude above 1, absolute large-order net volume above 0.05 for at least three consecutive sessions, and a 15-minute MACD histogram moving toward zero while remaining positive. The article presents the combination as a way to find volatile, actively traded stocks with improving short-term technical momentum. It also discusses supplementing the signal with other indicators, fundamental information, and broader risk analysis.

The post gives screening formulas and a sample Python sketch, but no backtest, measured outcomes, or evidence that the combined conditions predict returns. Its descriptions and examples warrant careful interpretation: using the absolute value of net order flow treats large positive and negative readings alike, and the MACD condition is described as a shortening negative histogram even though the formula specifies positive DIF-minus-DEA values. The sample code also has data and expression inconsistencies. Signal definitions and implementation should be checked before testing or trading.

Key ideas

• The screen combines amplitude above 1 with large-order net volume above 0.05 for three sessions.
• It adds a 15-minute MACD condition intended to capture a shortening histogram.
• Using absolute net volume does not distinguish buying from selling pressure.
• The written MACD description and formula appear inconsistent.
• The article supplies no tested performance results and the sample code needs verification.

Tags

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