Building a Chinese Stock Strategy with MACD and Screening Filters

Summary

This post describes a beginner’s adaptation of a template strategy on the BigQuant platform. Its stated backtest setup holds one equally weighted stock for five days over a specified historical period. The author reports using filters to exclude special-treatment stocks, suspended shares, Beijing Stock Exchange listings, and STAR Market listings, while noting difficulty configuring feature-based screening and ranking modules.

The author asks how to build a stock universe using MACD and then apply further filters, including positive trailing-twelve-month earnings and a price range. The post provides no MACD rules, ranking method, performance results, or evidence that the requested filters were implemented. It is therefore useful mainly as an example of strategy construction questions and basic universe filters, rather than as a complete or validated trading method.

Key ideas

• The example adapts a template strategy and applies exchange, suspension, and special-treatment exclusions.
• The stated backtest holds one equally weighted stock for five days.
• The author wants to combine MACD screening with valuation and share-price filters.
• The post does not explain the MACD rule or report strategy performance.

Tags

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