Combining Auction Volume, Turnover, and MACD for Stock Selection

Summary

This Chinese stock-selection proposal combines a relative trading-activity measure with a 15-minute MACD signal. It ranks stocks by a measure formed from the previous day’s turnover rate and the ratio of today’s auction volume to the prior day’s volume. It then applies a stated range filter to that activity measure and selects stocks whose MACD histogram is becoming less negative, which the post interprets as improving price momentum.

The post explains the intended rationale: recent auction activity and turnover are meant to represent capital participation, while a shrinking negative MACD bar is treated as a possible turn toward strength. It acknowledges that sentiment can distort the activity measure and that these indicators alone may misread a stock’s direction. It suggests adding other information and validating the rules through backtesting, but reports no test results, trading costs, precise signal timing, or evidence that the proposed thresholds generalize.

Key ideas

• The activity score combines prior-day turnover with current auction volume relative to prior-day volume.
• The proposed filter keeps activity scores within a stated interval.
• A shortening negative MACD histogram on a 15-minute chart is treated as a strengthening signal.
• The post notes that sentiment and reliance on a small set of indicators can undermine the signal.
• It recommends backtesting, but provides no performance evidence.

Tags

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