Chinese Stock Screen Using Range, Turnover, and Weekly MACD
Summary
This Chinese stock screen combines three conditions: daily amplitude above 1%, turnover above 2% and below 9%, and weekly MACD components above zero. The document frames amplitude and turnover as measures of price movement and market activity, with weekly MACD used to add a trend or momentum filter. It includes example screening logic and sample code, but reports no backtest, returns, or comparison with simpler screens.
The author cautions that MACD reflects historical price movement and cannot assess a company's full investment value; market uncertainty also means success is not guaranteed. Suggested extensions include financial and industry data and combining multiple technical indicators. The examples do not explain portfolio sizing, sell rules, or how often screening occurs, so the listed conditions define a candidate filter rather than a complete trading system.
Key ideas
- The screen selects for daily amplitude above 1% and turnover between 2% and 9%.\nIt requires the weekly MACD lines and histogram to be above zero.\nThe document presents no results showing that the combined filter performs well.\nMACD uses historical prices and does not capture a company's broader fundamentals.\nThe author suggests adding financial, industry, and other technical information.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.