A MACD, Price, and Auction Turnover Screen for Chinese Stocks

Summary

This Chinese-language post proposes a daily pre-market stock screen combining three conditions: MACD above its zero line, a share price below 12 yuan, and prior-day auction turnover above 0.26. The intended universe is Chinese equities. It also gives example indicator formulas and a Python-style screening outline, though the sample implementation’s MACD calculation uses a difference between moving averages and may not match the full stated MACD condition.

The rationale is to combine a positive trend signal, a low nominal share price, and strong auction-period turnover in search of stocks with potential upside. The post does not provide a backtest, transaction-cost analysis, or evidence that the screen predicts returns. It acknowledges that auction turnover may not forecast subsequent price behavior and that the selection criteria omit other relevant market and company factors. The threshold definitions, data availability, and implementation would need careful checking before research or use.

Key ideas

• The screen selects stocks with MACD above zero, prices below 12 yuan, and prior-day auction turnover above 0.26.
• It is intended to run before the market opens each trading day.
• The proposed rationale combines trend, nominal price, and auction activity signals.
• Auction turnover may not predict subsequent returns, and the screen can omit important market or company information.
• The post supplies indicator examples but provides no backtest or performance evidence.

Tags

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