Chinese Stock Screen Using Range, Trading Activity, and MACD Momentum

Summary

This Chinese equity screen looks for stocks with a daily price range above 1, prior-day trading activity above 60 million, and a positive MACD-like measure labeled as the start of a major advance. The code example calculates range from the high, low, and previous close, then forms short and longer moving averages and a signal average to derive a MACD value. The screen retains stocks where that value is positive. The post describes range as a measure of volatility, trading activity as a measure of market participation, and the trend condition as directional confirmation.

The article does not provide backtest results or define the “major advance” condition independently of its code example. There is also a measurement ambiguity: the prose specifies prior-day trading amount, while the example shifts a field named volume, which may represent share quantity rather than currency value. The author warns that unusual trading or broad market swings can undermine future performance, and that a lagging trend signal may miss rapid price rises. Suggested refinements include reviewing the trend calculation and adding fundamental or technical filters.

Key ideas

• The screen combines a price range threshold, prior-day trading activity, and a positive MACD-style condition.
• The example derives the trend condition from moving averages and a signal average.
• The article gives no backtest evidence for the screen.
• Its prose specifies trading amount, while the code shifts a volume field, leaving the activity measure unclear.
• The author notes that lagging trend confirmation can miss rapid advances.

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