Stock Screening with Turnover, Large-Order Flow, and 15-Minute MACD

Summary

This proposed equity screen combines a turnover rate between 3% and 12%, a positive product of the day’s price change and net flow attributed to very large orders, and a shortening 15-minute MACD histogram below zero. The accompanying explanation presents the combination as a way to find active shares where order flow and a weakening negative MACD reading may point to a possible recovery. Formula and Python examples are provided, though their conditions do not fully align with the written selection rule: the formula adds a separate price-range condition, and the examples express the MACD test differently.

The author cautions that the method uses technical inputs alone and is exposed to market, company, and macroeconomic risks. MACD is lagging and may produce delayed or premature signals. Suggested refinements include adding valuation, financial, or industry data and combining MACD with other indicators. The document offers no backtest, trade results, or evidence that the screen predicts gains, so it should be treated as a screening idea rather than a validated strategy.

Key ideas

• The written screen requires turnover from 3% to 12%, a positive price-change and large-order-flow product, and a shortening negative 15-minute MACD histogram.
• The author interprets the conditions as identifying active stocks that may be recovering.
• The code examples add or express conditions differently from the prose description.
• The method omits fundamentals and remains exposed to market and company-specific risks.
• MACD lag and the absence of performance evidence limit confidence in the proposed signals.

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