Stock Screening with Large-Order Flows, Volatility, and Weekly MACD

Summary

This stock selection approach combines a volatility threshold, persistent positive net volume attributed to large orders, and a weekly MACD condition above its zero line. The accompanying explanation interprets the volatility filter as a way to find active stocks, the large-order flow as a possible sign of substantial buying, and positive weekly MACD as a broader upward trend signal. It also sketches implementation ideas and suggests adding fundamental filters such as profitability measures.

The document provides screening rules and illustrative code, but no backtest, performance record, or evidence that the flow measure reliably identifies institutional activity. Its discussion acknowledges that a MACD reading can accompany only a temporary rise and that prices can move unpredictably. The written rules and code are not fully consistent about the volatility calculation and the precise meaning of consecutive positive flow, so the setup needs careful validation before use.

Key ideas

• The screen combines elevated price movement, positive large-order net volume, and a weekly MACD trend filter.
• The large-order flow condition is intended to identify sustained buying pressure.
• The article suggests adding fundamental filters, including earnings and return measures.
• A positive MACD condition does not guarantee continued strength or fundamental support.
• The stated rules and example implementation should be reconciled before testing.

Tags

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