Chinese Stock Screening with Turnover, Amplitude, and MACD

Summary

This note describes a Chinese equity screen combining daily price movement, trading activity, and a lagged MACD condition. It selects stocks with an amplitude of at least 1%, turnover above 2% and up to 9%, and MACD below zero two days earlier. The document provides indicator and Python examples as references for implementing the rules.

The author interprets amplitude and turnover as measures of market activity, and the earlier negative MACD reading as a possible rebound setup. No performance data or backtest results are presented. The note cautions that the screen emphasizes recent sentiment and technical behavior while omitting company fundamentals; the MACD filter may also concentrate holdings and increase risk. Suggested refinements include adding moving averages, momentum and fundamental measures, considering broader market conditions, and applying position and stop controls.

Key ideas

• The screen requires at least 1% amplitude and turnover above 2% but no more than 9%.
• It also requires MACD to have been below zero two days earlier.
• The document frames the rules as a way to combine trading activity with a potential technical rebound signal.
• It gives implementation references but reports no empirical performance evidence.
• It warns that technical filters may omit fundamentals and lead to concentrated risk.

Tags

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