Chinese Stock Screen Combining Weekly MACD, Price Range, Money Flow, and ROE

Summary

This document outlines a Chinese stock selection screen combining daily price amplitude above 1, a positive weekly MACD reading, positive main-investor net buying during the auction, and return on equity above 10%. It presents the filters as a mix of volatility, technical trend, money-flow, and fundamental criteria. Formula and Python examples illustrate how to obtain daily and weekly prices, calculate MACD, inspect money-flow data, and check ROE.

The discussion says that weekly MACD and amplitude reflect trend and short-term price variation, while positive auction net buying may indicate buying pressure. It cautions that fundamentals are limited in the initial screen and that historic money-flow observations cannot guarantee future performance; the final rule adds ROE as a fundamental filter. The document gives no backtest, benchmark, or return and risk statistics. Its examples are platform dependent and may require adjustments to data fields, indicator definitions, and evaluation timing.

Key ideas

• The screen combines daily amplitude, weekly MACD, auction net buying, and ROE filters.
• Positive weekly MACD is used as a trend condition.
• Positive auction net buying is treated as a possible sign of buying pressure.
• ROE above 10% adds a fundamental quality condition.
• The document offers implementation examples but no performance evidence.

Tags

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