Chinese Stock Screen Using MACD, Daily Range, and Auction Order Flow

Summary

This stock selection method combines a price range filter, a MACD condition, and buy volume from large and extra-large orders during the auction. It proposes selecting stocks with an amplitude above 1, MACD above zero, and combined auction buy volume above 0.7 ten-thousand units. The document presents these conditions as a way to find shares with both price activity and buying interest, and includes sample indicator formulas and Python-like code as references.

The author cautions that the screen omits company fundamentals and financial condition, may miss stocks that perform well without large auction orders, and can encourage chasing volume. Suggested refinements include considering fundamentals, industry outlook, and price trends alongside the technical and flow filters. No backtest, performance evidence, or precise operational rules are provided, and the formula and code references may require interpretation before use.

Key ideas

• The screen combines an amplitude threshold, a positive MACD condition, and auction buy volume from large orders.
• It treats price activity and observed buying interest as short-term selection signals.
• The document recommends including fundamentals, financial condition, industry outlook, and price trend in the decision.
• It warns that volume chasing and post-rise corrections can undermine the approach.
• The supplied formulas and code are references, not reported performance evidence.

Tags

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