Chinese Stock Screening with Weekly MACD and Auction Volume

Summary

This Chinese stock-screening post combines price activity, a positive weekly MACD reading, and a measure relating the prior day’s turnover to current auction volume relative to prior volume. Its final proposed screen adds valuation and growth filters: a price-to-earnings ratio below a stated threshold and year-on-year net profit growth above a stated threshold. The article offers both a formula-style outline and partial Python-like implementation guidance for selecting stocks that meet the conditions.

The author frames the volume relationship as a sentiment proxy and the weekly histogram as an indication of upward momentum. The post warns that sentiment measures can be unstable and that the initial logic omits fundamentals; it then adds fundamental filters and suggests further technical and volume indicators as possible refinements. It supplies no backtest results, benchmark comparison, portfolio rules, or evidence that the proposed filters are profitable. The implementation examples also need careful review because the formulas and prose do not always describe the volume relationship in precisely the same terms.

Key ideas

• The screen combines daily amplitude, a positive weekly MACD condition, and a volume-based auction activity measure.
• The proposed final rules also filter for valuation and year-on-year net profit growth.
• The article interprets auction volume as a sentiment proxy but acknowledges that such measures can be unstable.
• It suggests additional indicators and fundamental weighting as possible refinements.
• No backtest or evidence of profitability is reported, and the examples require implementation review.

Tags

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