Screening Chinese Stocks with Range, MACD, and Auction Turnover

Summary

This stock screen combines three conditions: amplitude above 1, a shrinking negative MACD histogram on a 15-minute interval, and previous-day opening-auction turnover above 0.26. The rationale is to find shares with meaningful price movement, improving short-term momentum, and active auction trading. The document provides formula examples and a Python-style workflow for filtering market data, calculating MACD, and estimating auction turnover from tick volumes.

It offers no backtest, return analysis, or evidence that the combined conditions predict profitable trades. It also warns that active auction trading does not ensure a positive outlook, large amplitude brings sharp-move risk, and technical screening may omit fundamentals or broader market context. The supplied examples have implementation limitations: the amplitude calculation shown uses a turnover field, and the data snippets illustrate individual securities and dates rather than a clearly validated, full-universe process. The screen is best understood as a candidate-generation idea requiring further validation and risk controls.

Key ideas

• The screen requires amplitude above 1, a contracting negative 15-minute MACD histogram, and prior-day auction turnover above 0.26.
• The proposed rationale combines price movement, improving short-term momentum, and auction activity.
• The document gives indicator formulas and example data-processing steps but no performance test.
• High amplitude and active auction turnover do not establish that a stock will rise.
• The screen may need market, fundamental, volume, and risk checks before use.

Tags

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