A Chinese Stock Screen Combining Range, Turnover, and Weekly MACD

Summary

The document describes a Chinese equity screening rule that combines daily price range, a turnover and auction-volume ratio, and a weekly MACD histogram condition. It frames the components as filters for short-term activity and a favorable weekly technical signal. The page also supplies indicator definitions and an illustrative Python outline for scanning listed stocks, though the code’s market-wide turnover calculation does not clearly match the stated stock-specific auction-volume ratio.

The author identifies limitations: the screen relies heavily on technical inputs, can miss fundamental or financial risks, and uses few variables, which may reduce precision. Suggested extensions include fundamental and financial-risk measures alongside additional technical inputs. No historical test results, portfolio construction rules, transaction-cost assumptions, or evidence of profitability are given, so the stated selection rationale should not be read as validated performance. The strategy is best understood as a proposed screening recipe that would need data-definition checks and independent testing.

Key ideas

• The screen combines a daily amplitude threshold with a turnover-related volume filter and a weekly MACD condition.
• Its stated goal is to pair short-term activity with a positive weekly technical signal.
• The example code does not clearly implement the described stock-specific auction-volume ratio.
• The author cautions that technical filters can overlook fundamental and financial risks.
• The document provides no backtest evidence or transaction-cost analysis.

Tags

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