Chinese Stock Screening with RSI, Weekly MACD, Market Value, and P/E

Summary

The proposed Chinese equity screen combines a relative strength index below 65, circulating market value between 5 billion and 10 billion yuan, and weekly MACD above zero. The article then adds a price-to-earnings ceiling of 40. Its accompanying Python example calculates RSI and MACD from closing prices, filters stocks using market value and those indicators, and, when at least five qualify, ranks candidates by previous close and selects up to five subject to a daily price-change cutoff. The described rationale is to combine a momentum condition with size and valuation filters.

The post warns that the criteria are narrow and omit factors such as industry exposure, and that MACD can lag. It recommends considering additional fundamental or technical inputs and checking data quality and freshness. The code example calculates MACD from the supplied close series; it does not demonstrate a weekly resampling step, so the weekly condition described in the prose may require implementation beyond that example. No backtest results or risk-adjusted performance evidence are provided.

Key ideas

• The screen combines an RSI threshold, a circulating market-value range, and weekly MACD above zero.
• The final stated rules also cap the price-to-earnings ratio at 40.
• The example selects up to five qualifying stocks after applying an additional daily price-change cutoff.
• The post identifies omitted industry and valuation risks and notes MACD’s lag.
• The code example does not show how daily prices are converted into weekly MACD values.

Tags

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