A-Share Screening with Positive MACD, Positive P/E, and Trading Activity

Summary

This document describes a daily pre-market screen for Chinese A-shares. It selects stocks with a positive MACD histogram and a positive trailing P/E, then ranks them by trading activity, represented in the indicator example by daily trading amount. The rationale is that positive MACD may indicate upward momentum, while a positive P/E excludes companies with negative earnings; high activity is treated as a sign of investor attention.

The article includes indicator formulas and a Python sketch, but reports no backtest, returns, or comparison with a benchmark. It warns that attention and trading activity may not reflect investment value, that the conditions are simple and may overfit, and that the screen could return too many or too few stocks. It suggests refining the criteria and researching candidates before adjusting positions. The provided code and formulas are examples rather than evidence that the ranking produces better results.

Key ideas

• The screen requires a positive MACD histogram and a positive trailing P/E.
• Eligible stocks are ranked by trading activity, using daily trading amount as a proxy for attention.
• The scan is intended to run before each trading day's open.
• The article offers example formulas and code but no measured strategy performance.
• The author cautions that simple filters and activity rankings may be unreliable or overfit.

Tags

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