A Pre-Open Stock Screen Combining MACD, Valuation, and Auction Activity

Summary

This Chinese-language post describes a daily pre-open screen for Chinese stocks. It combines MACD above zero, positive price-to-earnings ratio, and a bounded measure that multiplies the previous day’s turnover by a ratio involving current auction volume and prior volume. The stated thresholds are intended to select stocks with positive momentum and moderate activity. The post also outlines possible refinements, such as adding indicators and reviewing company fundamentals.

The document presents no backtest, performance results, or comparison with a benchmark, so it does not establish that the screen is profitable. Its explanation and code reference are inconsistent: the formula uses auction volume and turnover, while the sample code substitutes an ATR-like field and volume lags. The implementation would need verification, including precise data definitions, timing, and handling of missing values, before research or live use.

Key ideas

• The screen requires MACD to be above zero and the price-to-earnings ratio to be positive.
• It applies a lower and upper bound to a turnover and auction-volume measure.
• The proposed selection runs before the market opens each trading day.
• The post gives no performance evidence and warns that the screen omits broader fundamental analysis.
• The sample code does not match the stated auction-volume formula and needs validation.

Tags

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