A Stock-to-Flow and MACD Screen for Chinese Stocks
Summary
The document describes a Chinese stock selection rule combining turnover, order-book imbalance, and moving averages. It filters for stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and the 20-day moving average above the 120-day moving average. It then ranks qualifying stocks by daily gain and selects the top 50. The article includes sample query and Python snippets that illustrate these filters, alongside an additional exclusion based on aggregated shareholder holdings.
The rationale is that turnover indicates trading activity, bid-side volume suggests buying interest, and the moving-average relationship indicates an upward trend. The document cautions that the simple screen omits company fundamentals and broader economic conditions, and that its small selection pool may make results unstable. It recommends adding fundamental, macroeconomic, and industry filters. No backtest results or performance evidence are provided, so the proposed selection logic should be treated as a screening recipe rather than a validated strategy.
Key ideas
- The screen requires turnover between 3% and 12%, with first-level bid volume exceeding ask volume.
- It also requires the 20-day moving average to be above the 120-day moving average.
- Qualifying stocks are ranked by daily gain, and the top 50 are selected.
- The article warns that missing fundamental and macroeconomic filters may leave the screen exposed to unstable or poorly informed selections.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.