Chinese Stock Screen Using MACD, Recent Highs, and 10-Day Returns

Summary

This note describes a Chinese equity screen combining three conditions: MACD above zero, a recent high defined using a two-day window, and a 10-day price change above zero but below 35%. It frames these as trend and price-strength filters and flags that relying on a few technical signals can miss fundamentals, broader market conditions, and longer-term risk. The note also cautions that technical indicators may lag and short-term returns can reflect volatility or sentiment.

The supplied formula and Python example are intended as implementation references, but the definitions do not line up cleanly with the stated rules. The formula uses a MACD zero-crossing condition and a moving average in its return calculation; the Python example checks a recent high over its full history window. No backtest results or performance evidence are provided. The selection logic should therefore be treated as a rough screening idea, with its exact indicator definitions and lookback windows clarified before use.

Key ideas

• The proposed screen combines MACD above zero, a two-day high condition, and a positive 10-day return capped below 35%.
• The note warns that technical-only filters can omit fundamental information and longer-term trends.
• Lagging indicators and short-term price swings may weaken the timing and reliability of selections.
• The example implementations do not precisely match the written selection rules.
• No empirical performance evidence is supplied.

Tags

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