MACD and Auction Flow Screening for A-Share Stocks

Summary

This document describes a daily pre-open stock screen combining a positive MACD condition with a ranking by stock popularity. It also requires the combined auction-period purchase volume attributed to large and extra-large orders to exceed RMB 70 million. The stated rationale is to pair a technical trend filter and an attention measure with evidence of strong buying activity. Reference formulas and sample Python are included, but the implementation details are presented as examples rather than a complete, validated trading system.

The document flags dependence on market sentiment and large-order flows, the possibility that flows are concentrated on only a few days, and the randomness of a narrow pre-open observation window. It suggests adding fundamental and industry filters, using more historical or multi-period data, and adjusting the screening window to market conditions. No backtest results, trading costs, or performance statistics are provided, so the screen’s reliability and profitability cannot be assessed from the material.

Key ideas

• The screen requires MACD to be above zero and ranks candidates by stock popularity.
• It filters for auction-period large and extra-large order buying above RMB 70 million.
• The proposed approach combines a technical indicator, investor attention, and order-flow information.
• The document warns that short observation windows and unstable buying flows can make selections noisy.
• Fundamental, industry, and multi-period data are suggested as possible additions.

Tags

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