Chinese Stock Screen Using Range, Market Capitalization, and MACD

Summary

The document describes a Chinese equity screen combining three conditions: daily price range above a threshold, circulating market capitalization above a threshold, and a positive daily MACD. It presents these as filters for volatility, company size, and price trend, and includes example screening logic using a market-data service and a charting platform. The examples are implementation references rather than a tested trading system.

The document warns that the screen omits company fundamentals, may select short-lived speculative moves, and relies on a lagging technical indicator that can be affected by market sentiment. It suggests adding valuation and profitability factors, other momentum indicators, and a volatility measure such as ATR. No performance results, backtest details, transaction costs, or portfolio construction rules are provided, so the screen’s effectiveness cannot be assessed from the document.

Key ideas

• The screen selects stocks using daily range, circulating market capitalization, and positive daily MACD.
• The filters are intended to represent volatility, company size, and upward price momentum.
• The document identifies missing fundamental analysis and MACD lag as limitations.
• It suggests combining technical filters with valuation, profitability, and additional volatility measures.

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