A Short-Term Stock Screen Using MACD, Price Range, and Auction Volume

Summary

This short-term Chinese stock screen combines a daily price-amplitude threshold, a 15-minute MACD histogram that remains below zero while becoming less negative, and a ratio using the prior day’s turnover, current auction volume, and prior-day volume. The ratio is required to fall between 0.5 and 2. The intended interpretation is that a contracting negative MACD histogram may signal a shift in momentum, while the volume and turnover condition may indicate current trading interest. The document includes indicator formula examples and a Python-oriented sketch, but does not report results from applying the screen.

The author notes that the filters may miss fundamentally strong stocks with weak short-term price action, and that the turnover-volume measure can vary with liquidity and market conditions. The text also proposes adding fundamental, industry, or macroeconomic context, and mentions data-driven analysis as a possible extension. It does not specify trade execution, position sizing, exits, or risk limits. The supplied examples should be checked for data definitions and implementation consistency before use; the screen itself is not evidence of predictive performance.

Key ideas

• The screen requires price amplitude above 1 and a 15-minute MACD histogram that is negative but shrinking.
• A turnover-weighted auction-volume ratio must lie between 0.5 and 2.
• The conditions are intended to combine volatility, improving short-term momentum, and trading activity.
• The author recommends considering fundamental, industry, and broader market context.
• No performance results, execution plan, or position-risk rules are provided.

Tags

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