Screening Chinese Stocks with MACD, Moving Averages, and Auction Volume

Summary

This post proposes a short-term A-share screening rule that combines MACD above zero, upward-diverging moving averages, and a volume-based condition. The volume condition multiplies the prior day’s turnover rate by the ratio of today’s auction volume to the previous day’s volume, seeking stocks with a specified range of activity. The post interprets the MACD and moving-average filters as signs of upward momentum and the volume filter as a liquidity and potential-strength check. It also gives example indicator formulas and Python-style screening logic.

The material offers no backtest, benchmark, or evidence that the screen predicts returns. It cautions that recent price action may not persist, auction timing can make calculations unreliable, and short-term signals may not reflect longer-term direction. It suggests adding fundamental measures, other technical indicators, and deeper volume analysis. The provided example code is illustrative, and the text does not establish that its implementation exactly matches the stated rule.

Key ideas

• The screen requires MACD to be above zero and moving averages to be diverging upward.
• A turnover and auction-volume ratio is used as an additional trading-activity filter.
• The post frames the criteria as short-term signals and warns that past price action may not persist.
• Auction timing and reliance on short-term data are identified as sources of error or limitation.
• No backtest or evidence of profitability is provided.

Tags

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