Intraday A-Share Screen Using Auction Flows and Shortening MACD Bars

Summary

This note outlines a pre-open stock screen that combines price amplitude, auction-period order imbalance, large-order buying, market capitalization, and a 15-minute MACD histogram signal. The intended setup looks for large-order buying and a shortening MACD histogram bar, which the article treats as a possible change in short-term momentum. Its formula example adds an OBV rising condition and other thresholds, while the selection is framed as a daily process before the market opens.

No historical performance results or validation are provided. The note identifies lagging or false MACD signals, reliance on large-order data, and omission of other market and company risks as limitations. The formula and Python examples also express some conditions differently, including discrepancies in the stated large-order threshold and its conversion in code. The rules therefore need careful interpretation and testing before use; the article itself supplies no evidence that the screen is profitable.

Key ideas

• The proposed screen combines intraday price amplitude, auction order imbalance, large-order buying, and a 15-minute MACD signal.
• The article also includes market-capitalization and OBV conditions in its formula example.
• MACD can lag price changes and generate false signals.
• Large-order activity alone may not capture liquidity, broader market risk, or other relevant information.
• The examples contain threshold inconsistencies and offer no performance validation.

Tags

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