A Stock Screen Combining MACD Conditions with the Opening Auction Move
Summary
The proposed Chinese stock screen looks for MACD above its zero line, a rising DEA signal line, and a gain below 6% at 9:25. The MACD conditions are meant to identify positive momentum, while the opening-auction move cap is presented as a way to avoid stocks with especially large early gains. The article also supplies sample indicator formulas and a portfolio example with a stop rule and a limit on the number of holdings.
The article warns that auction data may be delayed, that focusing on less prominent stocks can miss strong moves, and that the screen omits fundamental information. It recommends considering valuation, market themes, and data quality. No backtest results are provided. The sample code and formulas appear internally inconsistent: the stated DEA condition differs from the shown MACD comparisons, and the cited opening-price calculation does not clearly measure the 9:25 gain. These discrepancies make the proposal a starting point for research rather than a ready-to-run strategy.
Key ideas
- The screen combines positive MACD conditions with a cap on the 9:25 gain.
- The article frames the opening move filter as a way to avoid stocks with conspicuously large early gains.
- It describes data delays, missed market leaders, and omitted fundamentals as risks.
- The sample formulas and code do not consistently implement the described DEA and auction conditions.
- No performance evidence is presented, so the screen requires verification and testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.