Chinese Stock Screen Using Range, Market Capitalization, Profitability, and MACD

Summary

This post describes a Chinese A-share screening rule that combines daily price movement, company size, profitability, and a reversal signal. It selects stocks with an intraday high-low range of at least one percent, positive net profit, and market capitalization above zero but no more than 10 billion yuan. The final rule also requires the opening price to be below the prior close and uses a MACD-related crossover condition intended to identify a possible turn upward.

The post explains the intended rationale: a larger daily range may offer more trading opportunity, smaller companies may have growth potential, positive earnings act as a basic quality filter, and a bullish MACD turn may signal a rebound. It provides example screening logic but no reported backtest, performance figures, or evidence that these assumptions improve returns. The author notes that reversal signals can be inaccurate and recommends combining indicators and fundamentals, using a broader screening system, and managing exposure and diversification. The approach is therefore a proposed screen, not a demonstrated strategy.

Key ideas

• The screen combines a minimum daily price range with a market-capitalization ceiling and positive net profit.
• It adds a MACD-based turn-up condition and requires the open to be below the previous close.
• The post frames these filters as ways to seek volatile, smaller, profitable companies and potential rebounds.
• No backtest or performance evidence is provided, and the post cautions that reversal signals can fail.

Tags

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