Chinese Stock Screen Using Volatility, MACD, RSI, and Auction Turnover

Summary

This document describes a Chinese equity screening rule that combines price movement, trend, momentum, and trading activity. Its final version selects stocks with amplitude above 1, MACD above zero, RSI(14) above 50, and prior-day auction turnover above 0.26. The text presents amplitude as a volatility measure, MACD and RSI as signals of positive direction, and auction turnover as a sign of market attention and capital flows.

It also gives formula and Python examples, but the examples do not align perfectly: the code uses an open-price denominator for amplitude, and the MACD condition is expressed differently from the written rule. The document cautions that volatile stocks may be illiquid or prone to sharp swings, and that the screen omits fundamental analysis. It suggests adding average volume or market capitalization and setting exit rules. No backtest results or evidence of predictive performance are provided, so the screen should be treated as a proposed filter rather than a validated strategy.

Key ideas

• The final screen combines amplitude, MACD, RSI(14), and prior-day auction turnover conditions.
• The document interprets positive MACD and RSI above 50 as signs of upward momentum.
• High amplitude can accompany greater short-term opportunity as well as sharper price swings.
• The examples contain differences in how the written conditions are translated into code.
• The document recommends considering liquidity, fundamentals, and exit rules, but provides no performance validation.

Tags

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