Chinese Stock Screening with Weekly MACD, a Five-Day Average, and Market Cap

Summary

This document describes a Chinese equity screen combining daily amplitude above 1, a positive weekly MACD condition, and price above its five-day moving average. Its refined version adds a market capitalization threshold of 5 billion yuan. The article provides example formulas and Python-style pseudocode for evaluating these conditions, including weekly price data for the MACD check and daily closes for the moving average comparison.

The rationale is to combine a volatility filter with short-term trend signals and a size constraint. The article offers no backtest, performance results, or evidence that the screen predicts returns. It also notes that the rules omit company fundamentals, industry conditions, and liquidity; it suggests adding such filters and setting liquidity requirements. The examples are references rather than a complete, validated implementation, and the text’s explanation of average price does not align precisely with the sample code’s use of the latest close. The screen should therefore be treated as a candidate selection rule, not a demonstrated strategy.

Key ideas

• The screen requires daily amplitude above 1 and price above the five-day moving average.
• A positive weekly MACD condition adds a longer-horizon trend filter.
• The refined rules add a market capitalization threshold of 5 billion yuan.
• The article provides formula and pseudocode examples but no performance evidence.
• Fundamentals, industry conditions, and liquidity are identified as omitted considerations.

Tags

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