Stock Screening with Weekly MACD and Auction Order Flow

Summary

This note proposes a Chinese stock screen combining daily amplitude above 1%, a positive weekly MACD signal, and buying activity from large and very large orders during the auction period. The stated order-flow threshold is above 70 million shares in the formula and Python example, despite a different unit expression in the prose. The examples also require positive trailing return on equity. The article suggests considering market capitalization ranking and broader market conditions, but does not fully define these as operational rules.

No backtest or performance evidence is provided. The note flags possible data delays, information asymmetry, errors in fundamentals, and speculative interpretation of large-order activity. It recommends verifying fundamental data and controlling risk, but supplies no specific risk limits, execution rules, or test results. The signal definitions, particularly the auction timing and order-volume units, would need careful validation before implementation.

Key ideas

• The proposed screen combines daily amplitude above 1% with a positive weekly MACD signal.
• It uses auction-period large and very large order buying, with the code examples specifying a threshold above 70 million shares.
• The examples also require positive trailing return on equity.
• The note warns that order flow can be speculative and that data may be delayed or inaccurate.
• It gives no backtest results, execution plan, or explicit risk limits.

Tags

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