A-Share Screening with MACD, Prior-Day Control, and Auction Order Flow

Summary

The document describes a Chinese A-share screening idea combining MACD above zero, a signal interpreted as major-player control on the prior day, and large plus extra-large buying during the opening auction. It first proposes a combined auction purchase threshold of 7 million, then suggests tightening it to 10 million and adding relative-strength or market filters. The accompanying example outlines MACD calculations and candidate screening conditions.

The rationale is that positive MACD may indicate an upward trend, the prior-day condition may reflect institutional buying, and auction order flow may signal activity. The post identifies risks: the filters may admit risky stocks, large-order counts vary with overall market activity, and auction purchases are uncertain. It offers no backtest, performance evidence, or validation of the control proxy; the sample code also contains incomplete and potentially inconsistent conditions. The threshold and optional filters are therefore proposals, not demonstrated improvements.

Key ideas

• The screen combines positive MACD, a prior-day major-player-control condition, and large auction-period buying.
• The proposed combined purchase threshold is raised from 7 million to 10 million in the suggested final screen.
• The post recommends considering additional strength, volatility, price, volume, and limit-move filters.
• Auction order flow can be affected by market conditions and uncertain participant behavior.
• No empirical results establish the screen’s predictive value or the effectiveness of its suggested refinements.

Tags

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