A Chinese Stock Screen Combining Weekly MACD, Range, and Auction Turnover

Summary

This proposed stock screen combines daily price amplitude above one percent, weekly MACD above zero, and a positive prior-day auction-turnover condition. The post describes amplitude as a measure of price movement, treats positive weekly MACD as a sign of upward momentum, and uses auction turnover as an activity measure. It includes indicator formulas and a sample data workflow for applying related filters to Chinese equities.

The article reports no backtest or realized trading evidence. Its explanation notes that the screen focuses on volatility and technical conditions while leaving out company valuation and broader capital-flow information. It also cautions that a single prior-day auction-turnover observation may not represent underlying trading conditions. The article recommends combining the signals with fundamental and flow analysis and adjusting how the indicators are combined. The prose and sample formulas differ in some details, so the exact turnover threshold and signal timing should be clarified before replication.

Key ideas

• The screen combines daily amplitude, weekly MACD, and prior-day auction turnover.
• Positive weekly MACD is used as a trend or momentum filter.
• The post provides formulas and an example workflow but no performance evidence.
• The method omits fundamental and broader funding considerations.
• Signal thresholds and timing should be clarified because the descriptions are inconsistent.

Tags

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