A-Share Screening with Positive MACD, Stock Heat, and Auction Net Buying

Summary

This document outlines a daily stock screen for Chinese A-shares. It selects stocks whose MACD is above zero, ranks qualifying names by market attention from highest to lowest, and requires positive net buying by major participants during the opening auction. The screen is intended to run after each trading day’s close. The article provides indicator formulas and illustrative code, but these implementation examples do not establish that the data fields or calculations are reliable across platforms.

The author argues that MACD can indicate short-term trend and that stock attention may reflect investor interest, while positive auction net buying adds a short-term flow condition. The document offers no performance statistics or backtest evidence. It notes that the rules omit company fundamentals, broader market and macro conditions, and longer-term capital flows; the simple filters may also concentrate selections. Suggested improvements include adding fundamental and technical measures, using more persistent flow data, and incorporating market-level indicators. These are proposals rather than tested enhancements.

Key ideas

• The screen requires MACD to be above zero and auction net buying to be positive.
• Eligible stocks are ranked by attention, with the most watched names first.
• The selection process is scheduled after each trading day’s close.
• The document cautions that the screen omits fundamentals and broader market conditions.
• It proposes broader filters and more persistent capital-flow measures as possible improvements.

Tags

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