Chinese Stock Screening with Amplitude, Float Size, and Prior MACD

Summary

This Chinese equity screen selects stocks using three conditions: prior-day amplitude above 1, tradable share count at or below 5.5 billion shares, and MACD below zero two days earlier. The post interprets these filters as seeking volatile stocks of relatively modest scale after a recent market pullback. Its example formulas calculate amplitude from the previous bar’s high, low, and close, and shift the MACD series by two periods.

The post offers sample implementation logic in two platforms and suggests ranking candidates by turnover when limiting the list. It reports no backtest results or evidence that the selection logic has an edge. It also acknowledges that relying on an old MACD reading is simplistic and may miss other relevant technical or fundamental information; its proposed refinements include broadening the analysis and loosening the screen. The strategy’s outcome would depend on definitions, data timing, and subsequent portfolio and risk rules.

Key ideas

• The screen requires amplitude above 1 and a tradable share count no greater than 5.5 billion.
• It also requires MACD to have been below zero two trading days earlier.
• The example ranks qualifying stocks by turnover when limiting the candidate list.
• The post warns that these narrow filters omit other technical and fundamental factors and provides no performance evidence.

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