Chinese Stock Screen Using Turnover, Auction Volume, and MACD

Summary

The article describes a Chinese equity screening rule that combines daily price range, prior-day turnover, the ratio of today’s auction volume to yesterday’s volume, and a negative MACD reading from two days earlier. Its stated filter requires amplitude above 1 and the product of prior turnover and the auction-volume ratio to fall between 0.5 and 2. The intended interpretation is to find shares that have been declining and may be near a rebound. It also suggests adding company and industry fundamentals or other indicators, while widening the narrow filter may improve coverage.

The article warns that the rule omits much of each company’s circumstances and may perform poorly in volatile markets. It supplies formula and Python examples, but does not report a backtest or results. The sample implementation does not clearly match the stated rule: it appears to compare turnover with market-wide turnover ratios and does not visibly apply the amplitude condition. Its signals and code should therefore be checked before use.

Key ideas

• The stated screen combines amplitude, prior turnover adjusted by the auction-volume ratio, and a negative MACD value from two days earlier.
• The rule is intended to find declining shares that may be approaching a rebound.
• The article identifies narrow selection criteria and volatile markets as risks.
• Its sample implementation appears inconsistent with the written filter, and no performance evidence is supplied.

Tags

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