Screening Stocks with Positive MACD, Positive PE, and Auction Demand

Summary

This proposed Chinese A-share screen combines three conditions: MACD above zero, trailing price-to-earnings ratio above zero, and substantial large or extra-large order volume during the opening auction. It is intended to run after the auction ends each trading day. The article describes positive MACD as a trend-strength filter, positive PE as an exclusion of loss-making firms, and auction buying activity as a possible sign of investor interest. It also gives formulas and sample code for filtering and ranking candidates by market capitalization.

The article reports no backtest results or evidence that the conditions predict returns. It acknowledges that auction orders may come from individual traders rather than institutions, and that reliance on indicators and order-volume data can miss fundamental, liquidity, and other risks. It recommends considering broader factors and filtering anomalous auction activity. The written screening condition and sample implementation may not fully align in their treatment of auction order sides or volume units, so those details need checking before use.

Key ideas

• The proposed screen requires MACD above zero and PE above zero.
• It filters for high combined large and extra-large order volume during the opening auction.
• The screen is intended to run after each trading day’s auction period ends.
• Auction buying activity does not establish that institutional investors are accumulating a stock.
• The article provides no performance evidence and flags liquidity, fundamental, and anomalous-order risks.

Tags

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