A-Share Screen Using Intraday Range, Positive MACD, and Auction Turnover

Summary

This A-share screening rule selects stocks with an intraday amplitude above 1 and MACD above zero, then chooses the top five by the day's auction-related turnover measure. The stated reasoning is that a positive MACD may indicate a favorable trend, while higher auction activity may reflect greater participation. The document provides example indicator definitions and a Python sketch, though the code's ordering and filtering steps do not clearly apply all conditions before selecting the top five.

The article acknowledges that the rule uses technical and trading-activity measures without considering company fundamentals, which may make selections risky. It suggests adding financial condition and industry outlook filters. No backtest, returns, or validation are reported, so the proposed relationship between auction turnover, participation, and subsequent performance remains unsubstantiated in the text.

Key ideas

• The screen requires intraday amplitude above 1 and MACD above zero.
• It ranks by auction-related turnover and selects five stocks.
• The rationale links positive MACD with trend and higher auction activity with participation, but provides no performance evidence.
• The sample Python workflow may rank candidates before applying all filters, leaving its implementation unclear.
• Adding company financial and industry measures is suggested, but not tested.

Tags

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