Pre-Market Stock Screening with MACD, Investor Attention, and Auction Activity

Summary

This pre-market A-share screening idea requires MACD to be above the zero line, ranks candidates by reported stock popularity, and applies a bounded ratio involving the previous day's turnover and current auction volume relative to the previous day's volume. The article presents MACD as a trend filter and popularity, turnover, and auction activity as measures of attention and capital flow. It includes the standard EMA-based MACD formula and sample filtering and ranking code.

The document does not provide a backtest or evidence that these signals forecast returns. It warns that short-term focus can overlook fundamentals, earnings changes, and longer-term trends, and that poorly chosen thresholds may make selections unstable. The ratio is described with bounds of 0.5 and 2, though the sample code's calculation and variable handling do not clearly match the stated turnover-adjusted expression. The rule is therefore best treated as an exploratory screen requiring precise implementation and validation, with additional filters considered for market, sector, or company conditions.

Key ideas

• The proposed screen uses MACD above zero and ranks stocks by reported popularity.
• It also applies a bounded condition using prior turnover and auction volume relative to prior volume.
• The article supplies the MACD formula and sample code but no performance evidence.
• The stated ratio and sample calculation may not align, so the rule needs careful implementation.
• Fundamentals and longer-term trends are potential omissions in this short-term approach.

Tags

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