Chinese Stock Screening with Auction Turnover, Range, and MACD

Summary

This Chinese stock screen combines three stated selection conditions: amplitude above 1, a top-five rank by the day’s auction amount, and a negative MACD condition from two days earlier. The article frames the range and auction turnover filters as ways to find active stocks, while MACD is intended to describe price trend. Its final proposed rule adds a price-to-earnings ratio below 50 and a combined return-on-equity and earnings-growth measure above 20, although those fundamental filters are not part of the initial three-condition description.

The post warns that the screen may select stocks vulnerable to chasing and does not examine company fundamentals in depth. It suggests adding industry and market context, fundamental measures, and sector rotation signals, as well as checking multiple technical indicators. The provided formula and code are references rather than validated research: no backtest, transaction costs, or performance statistics are given, and the timing and definitions of auction amount and MACD need precise implementation. The rules should be treated as a stock-selection concept, not a demonstrated profitable strategy.

Key ideas

• The initial screen combines amplitude above 1, a top-five auction-amount rank, and a negative MACD condition from two days earlier.
• The post’s final proposed rule also includes valuation and profitability or growth filters.
• The author warns that the screen may encourage chasing and omits deeper company analysis.
• Sector context and additional technical or fundamental filters are suggested as possible refinements.
• No backtest results or performance evidence are supplied, and indicator definitions require careful implementation.

Tags

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