Chinese Stock Screening with Auction Activity, MACD, and Quality Filters

Summary

The document proposes a Chinese equity screen that selects stocks with an amplitude above one, ranks them among the top five by the day’s auction amount, and requires daily MACD to be positive. It explains these filters as a combination of price movement, trading activity, and trend direction. The post then expands the screen with positive earnings per share and return on equity above 15%, aiming to add profitability and quality checks.

The source offers example indicator expressions and a Python sketch, but it does not provide a backtest, execution rules, return data, or evidence that the selection criteria work. The code references platform-specific functions and data that are not fully defined, so it should be treated as illustrative rather than directly runnable. The author also cautions that technical filters can overlook fundamentals and financial risk, and suggests combining valuation, quality, and technical measures. No method is given for position sizing, portfolio construction, or evaluating out-of-sample performance.

Key ideas

• The initial screen combines an amplitude threshold, auction-amount ranking, and positive daily MACD.
• The proposed refined screen also requires positive earnings per share and return on equity above 15%.
• The post frames activity and trend filters as a way to narrow an equity universe.
• It warns that technical criteria can miss company fundamentals and financial risks.
• The examples are not accompanied by backtest results, and their code relies on platform-specific inputs.

Tags

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