Chinese Stock Screen Using Amplitude, Turnover, Auction Volume, and MACD

Summary

This Chinese equity selection method filters for daily price amplitude above 1, a product of yesterday’s turnover rate and the ratio of today’s opening auction volume to yesterday’s volume between 0.5 and 2, and a positive daily MACD value. The stated intent is to combine price movement, trading activity, and a technical trend signal. The text also mentions checking whether the current low is below the previous day’s low, although that additional condition is not consistently reflected in its prose description.

The post supplies indicator definitions and a Python example, but no historical results, trade records, or performance measurements. It cautions that the combined filters may select few stocks, that sentiment and capital flows can shift, and that company fundamentals are not considered. It proposes adding trend support and fundamental or valuation measures. The example’s data fields and volume ratio implementation do not clearly match the described opening-auction ratio, which limits reproducibility without resolving those discrepancies.

Key ideas

• The screen combines amplitude, a turnover-adjusted auction volume ratio, and positive daily MACD.
• The turnover and volume measure is constrained to a stated range from 0.5 to 2.
• A code example also applies a condition comparing current and prior daily lows.
• The post reports no backtest evidence and notes that the filters may produce few candidates.
• The described ratio and the example implementation do not align clearly, creating reproducibility limits.

Tags

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