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

Summary

The document proposes a short-term Chinese equity screen combining daily amplitude above 1, a positive weekly MACD condition, and previous-day auction turnover above 0.26. It provides a formula sketch and Python example, then suggests adding other technical and company-analysis measures. The stated rationale is to select stocks with signs of recent price strength and trading activity.

The article offers no performance data or validation. Its examples do not consistently implement the stated conditions: the Python amplitude test uses the standard deviation of daily highs, and its turnover calculation divides volume by the day's high-low range. Those differ from the named amplitude and auction-turnover measures. The weekly MACD condition is also described in ways that may not match the chart-color rule. The screen should therefore be treated as an informal starting point; definitions, data timing, and out-of-sample behavior need independent verification.

Key ideas

• The proposed screen combines daily amplitude, a weekly MACD signal, and prior-day auction turnover.
• The article frames the conditions as a way to find stocks showing short-term strength and activity.
• Its code examples use calculations that do not clearly match the stated amplitude and auction-turnover conditions.
• The document gives no backtest or evidence that the screen produces returns.
• It suggests adding further market and company measures, while warning that volatility and omitted factors can affect results.

Tags

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