A Small-Cap Stock Screen Using MACD, Trading Flow, and Profitability

Summary

The document describes a Chinese equity screen combining three filters: MACD above its zero line, external trading volume relative to internal volume above 1.3, and market capitalization below 10 billion yuan for companies with positive net profit. Stocks passing all filters are ranked by price gain, highest first. It also gives an illustrative screening formula and a Python workflow that calculates MACD, estimates the volume ratio, checks profitability and market value, then sorts candidates by recent price change.

The accompanying discussion recommends adding valuation, operating and trend measures, but the final proposed screen does not include those changes. It provides no performance results or out-of-sample evidence. The code examples use specific dates and data fields, and the volume split and market-cap units should be checked against the chosen data source. MACD and a one-day volume imbalance can be unstable signals; positive profit and a small market value alone do not establish company quality or limit downside risk.

Key ideas

• The screen requires MACD above zero, a volume ratio above 1.3, positive net profit, and market capitalization below 10 billion yuan.
• Passing stocks are ranked by price gain in descending order.
• The document suggests adding valuation, operating, and medium-term trend measures, though its final rule retains the original filters.
• The examples show an implementation approach but provide no evidence of strategy performance.

Tags

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