A MACD, Turnover, and Auction-Volume Screen for Chinese Stocks

Summary

This proposed stock screen selects shares with MACD above zero, a favorable enterprise classification, and a specified range for yesterday’s turnover multiplied by the ratio of today’s opening-auction volume to yesterday’s volume. The stated range is above 0.5 and below 2. The post presents the MACD condition as a positive technical filter and the turnover-volume combination as a way to account for trading activity and liquidity. It also includes sample formula and Python implementations, though the code contains filters and calculations that do not clearly match the written rule.

The document offers a strategy rationale but no backtest, performance figures, or evidence that the screen improves returns. It cautions that auction volume and turnover may not reliably represent market conditions in every period, and that technical filters may overlook company fundamentals. The phrase describing a favorable enterprise classification is not precisely defined, making that part of the screen difficult to reproduce from the written description alone. The post suggests adding valuation measures and deeper fundamental analysis, but does not evaluate those additions.

Key ideas

• The screen combines MACD above zero with an enterprise classification and a turnover-adjusted auction-volume condition.
• The stated volume-related condition must fall between 0.5 and 2.
• The post provides implementation examples, but their filters do not clearly correspond to every written criterion.
• The author warns that activity measures can be misleading and technical signals can omit fundamental information.
• No backtest or measured trading results are reported.

Tags

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