Stock Screening with Intraday Inflows, Amplitude, and MACD

Summary

This note describes a Chinese stock screening rule combining daily price amplitude above 1%, afternoon large-order net inflow, and a MACD condition from two days earlier. It presents the filters as a way to find stocks showing both price movement and buying interest, with MACD intended to add trend context. The document includes example indicator formulas and a Python-style screening sketch, but it does not report a backtest, trading results, or evidence that the filters predict returns.

The author cautions that a popular MACD condition could coincide with increased trading activity, and that passing the filters does not give a stock an inherent advantage. The note suggests considering company fundamentals and industry trends, and varying indicator weights. Its implementation details are inconsistent: the prose describes the prior MACD value as below zero, while the code sketch tests a relationship between MACD and its signal line. The large-order and afternoon-flow conditions are also not fully specified, so the rule would need careful definition and validation before use.

Key ideas

• The screen combines amplitude above 1%, afternoon large-order net inflow, and a MACD condition from two days earlier.
• The document offers indicator formulas and a Python-style example but no performance evidence.
• The prose and sample code appear to encode different MACD conditions.
• The author warns that screen results have no guaranteed advantage and may carry market risk.
• Fundamental and industry measures are suggested as possible additions.

Tags

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