Volatility, Limit-Down Auction, and Weekly MACD Stock Screen

Summary

This Chinese stock-selection method filters for shares with an amplitude above 1, a prior-day 9:15 matched price at the daily limit-down level, and weekly MACD above zero. It combines a volatility condition, a pre-open auction price signal, and a weekly trend indicator. The post suggests the auction signal may reflect market sentiment and interprets positive weekly MACD as potentially favorable, then proposes ranking qualifying stocks by another indicator and taking the top N. It offers formula and Python-style examples, but the ranking variable is left unspecified and no screened names or performance results are reported.

The author notes that the criteria are narrow and do not describe a stock comprehensively. Positive weekly MACD may also be overly optimistic, so the signal needs further study. The post suggests adding technical and fundamental measures, including valuation ratios, and validating the weekly MACD condition. It does not define the amplitude scale, provide an empirical test, or establish whether the auction condition predicts subsequent returns; the idea is therefore an unvalidated screening hypothesis.

Key ideas

• The screen combines amplitude above 1, a prior-day 9:15 matched price at limit down, and weekly MACD above zero.
• The proposed selection process ranks qualifying stocks by an additional metric and keeps the top N.
• The post provides implementation sketches but leaves the ranking metric unspecified.
• The author warns that the criteria are narrow and the MACD signal may be too optimistic.
• No backtest or evidence of predictive performance is presented.

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