Stock Screening with Turnover, Order-Flow Imbalance, and MACD

Summary

The document proposes screening stocks for turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and a negative MACD reading from two sessions earlier. It describes the turnover and order-flow conditions as ways to focus on liquid stocks with buying pressure, while the lagged MACD condition adds a technical filter. Example formula and Python snippets are included, and the author notes that fundamental factors and indicator lag can limit the approach.

There is a material mismatch between the stated screen and its examples. The formula substitutes a two-session price change bounded between 3% and 12% for the stated turnover range, and it does not use the external-to-internal volume ratio. The Python example does implement turnover and order-flow checks and tests MACD three rows from the end, but that timing may not correspond to the prose description. No backtest or performance evidence is given, so the criteria need clarification and validation before use.

Key ideas

• The stated screen combines a turnover band, an external-to-internal volume ratio above 1.3, and a lagged negative MACD reading.
• The formula example uses a price-change condition in place of the stated turnover criterion.
• The Python example includes order-flow and turnover checks but uses a lagged MACD value whose timing should be verified.
• The author cautions that technical indicators can lag and that the screen omits fundamental information.
• The document reports no backtest results.

Tags

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