Stock Screening with Weekly MACD, Afternoon Order Flow, and Value Filters

Summary

This Chinese stock-selection post starts with three signals: daily amplitude above 1, a positive weekly MACD histogram, and afternoon large-order net inflow. Its final proposed rule adds valuation and profitability filters: price-to-earnings below 20, price-to-book below 3, and return on equity above 10%. The article includes sample indicator formulas and partial Python code to illustrate screening, but it does not report a backtest or returns.

The stated rationale is to combine volatility, trend, and money-flow information, with the added fundamental conditions intended to broaden the assessment. The author notes that the original technical and flow signals omit company fundamentals and industry context, and that afternoon-only flows may misrepresent the day’s overall activity. The examples also have implementation ambiguities, including a code field using an ROA label where the described filter is ROE. Results therefore depend on clarifying definitions, data, timing, and testing before use.

Key ideas

• The initial screen combines amplitude, a positive weekly MACD histogram, and afternoon large-order inflow.
• The final proposed rule adds valuation and profitability thresholds for price-to-earnings, price-to-book, and ROE.
• Afternoon-only flow may not represent full-day buying and selling.
• The post recommends considering industry, fundamentals, and risk controls, but supplies no empirical performance evidence.

Tags

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