Chinese Stock Screen Combining Daily Range, Weekly MACD, and Auction Net Buying

Summary

This document describes a Chinese equity screen that combines three conditions: daily amplitude above 1%, weekly MACD above the zero axis, and positive net buying attributed to major investors during the opening auction. It frames the range and MACD measures as technical signals and the auction flow measure as an indicator of incoming capital. Formula and Python examples are provided to illustrate screening across stocks.

The article offers no backtest, performance statistics, or evidence that the combined conditions predict returns. It cautions that the screen omits company fundamentals and focuses on short-term technical and capital-flow information, which may not capture longer-term prospects. It recommends adding fundamental, industry, and market-sentiment analysis, along with risk controls and stop-loss rules. The Python example uses weekly price and moving-average conditions that do not directly match the stated weekly MACD condition, so the implementation needs review before practical use.

Key ideas

• The screen requires daily amplitude above 1%, weekly MACD above zero, and positive auction net buying.
• The approach combines price behavior with an order-flow measure.
• The document provides formula and Python examples but no evidence from backtesting.
• It warns that short-term signals omit fundamentals and may not represent longer-term performance.
• The sample Python conditions differ from the stated MACD rule and should be validated.

Tags

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