MACD and Auction Turnover Filters for Daily A-Share Selection

Summary

This post outlines a simple daily stock screen for Chinese equities. It selects stocks whose MACD indicator is above zero and whose prior-day opening-auction turnover rate exceeds a stated threshold, then ranks candidates by stock popularity. The screen is run after each trading day’s close. The post gives the familiar EMA-based MACD construction and a Python-style example for filtering and sorting a stock dataset.

The author frames MACD and popularity as technical inputs and the turnover condition as a way to focus on active shares. No performance test, transaction-cost analysis, or evidence of predictive advantage is provided. The post itself notes that the rules may miss market-wide conditions, emphasize short-term activity, and ignore company fundamentals and industry context. It suggests adding technical, sentiment, liquidity, and fundamental factors, but does not evaluate those additions. The example should therefore be read as a screening template rather than a tested trading system; data-field definitions and the exact popularity ranking source are not specified.

Key ideas

• The screen requires MACD to be positive and prior-day auction turnover to exceed the stated cutoff.
• Candidates are ranked by stock popularity after the trading day closes.
• The post provides a MACD formula and an illustrative filtering workflow.
• No backtest or evidence of profitability is presented.
• The rules may overlook fundamentals, broader market conditions, and longer-term trends.

Tags

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