Chinese Equity Screen Using MACD, Order Book Volume, and Moving Averages

Summary

This document describes a Chinese stock selection rule combining three conditions: MACD must be above its zero line, displayed best bid volume must exceed best ask volume, and the 20-day moving average must be above the 120-day moving average. It presents the rule as a way to find stocks with positive momentum, buying interest, and an upward longer-term trend. Formula references and sample Python code illustrate how the criteria might be implemented and how selected stocks could be allocated.

The document gives no backtest or return evidence, so it does not establish whether the screen is profitable. It notes that technical rules omit company fundamentals and that results may depend on details such as the observation interval. Its optimization suggestions—adding other indicators or fundamental measures, adapting parameters, and strengthening risk controls—are general rather than tested. The sample implementation also depends on market data and platform-specific field definitions, which should be checked before use.

Key ideas

• The screen requires MACD above zero and best bid volume greater than best ask volume.
• It keeps stocks whose 20-day moving average exceeds their 120-day moving average.
• The document supplies formula references and sample selection and allocation code, but no performance test.
• It flags omitted fundamentals and implementation details as limitations.

Tags

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