Selecting Chinese Stocks by Positive MACD, Low Price, and Auction Activity

Summary

The document outlines a daily pre-open stock screen for Chinese equities. It selects stocks with MACD above zero and a price below 12 yuan, then ranks candidates by that day’s auction amount and keeps the top five. The rationale is to combine a technical condition with a low-price filter and an indicator of pre-open market attention. The page includes references to indicator formulas and a Python example, though the example contains inconsistencies: it describes ranking by auction amount but sorts a field labeled bid price, and it also calculates moving averages that do not appear in the stated selection rules.

The author warns that relying heavily on one day’s auction activity can make the screen sensitive to market fluctuations and leave it dependent on few factors. Suggested refinements include adding fundamental measures, broadening the selection inputs, and adjusting the ranking’s role. No historical backtest results, transaction costs, or evidence of predictive performance are presented, so the screen’s profitability is unestablished.

Key ideas

• The screen requires MACD above zero and a share price below 12 yuan.
• It ranks eligible stocks by the current day’s pre-open auction amount and selects the top five.
• The stated selection time is before the market opens each trading day.
• The document cautions that auction activity alone can make the screen overly dependent on a single short-term factor.
• The code example does not fully align with the described ranking logic, and no performance evidence is supplied.

Tags

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