A Large-Cap MACD Screen Ranked by Stock Attention

Summary

The document outlines a daily, after-close stock-selection screen that requires the MACD line to be above zero, limits the universe to companies with floating market capitalization above 10 billion yuan, and ranks candidates by a measure of individual-stock attention. Its explanation presents positive MACD as a trend filter, attention as a measure of market focus, and the capitalization threshold as a way to exclude smaller companies. The included Python example calculates the difference between 12- and 26-period exponential averages, applies a capitalization filter, then sorts by turnover rate and retains a limited set of names.

The proposed attention ranking and the example’s turnover-rate ranking are not necessarily equivalent, and the indicator expression shown is the MACD line rather than the full MACD indicator. The source offers no backtest, return statistics, or evidence that the screen improves selection. It notes that attention and capitalization data may be unstable or inaccurate, and that the size filter may exclude promising smaller firms. It recommends considering additional factors and fundamental analysis, but does not specify or evaluate them.

Key ideas

• The screen selects stocks with a positive MACD line and floating market capitalization above 10 billion yuan.
• Candidates are intended to be ranked by stock attention after the market closes.
• The code example sorts by turnover rate, which may not represent the stated attention measure.
• The source reports no performance test and cautions that data quality and simple criteria limit reliability.
• The capitalization floor can exclude smaller companies, while additional factors and fundamental analysis are suggested.

Tags

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