Chinese Stock Screening with Weekly MACD, Amplitude, Size, and Profitability

Summary

This stock screen combines daily price range, weekly MACD, market capitalization, and profitability. It selects Chinese companies with daily amplitude above 1%, weekly MACD above zero, market value below 10 billion yuan, and no losses according to positive ROE or ROA across the stated four-period check. The document also provides indicator formula references and an illustrative implementation, but reports no backtest or performance evidence.

The author cautions that market capitalization alone does not capture earnings quality or growth prospects, and that size has different implications across industries. Suggested refinements include adding industry conditions, policy risks, profitability measures, and comparisons with sector valuation levels. The screen is presented as a candidate-generation method; it does not define portfolio weights, entry and exit rules, or risk controls.

Key ideas

• The screen requires daily amplitude above 1% and weekly MACD above zero.
• It limits eligible companies to a market value below 10 billion yuan.
• Profitability is checked using positive ROE or ROA across four periods.
• Market capitalization should be interpreted alongside industry context, earnings, growth, and policy risks.
• The document provides no performance testing or complete trading and risk-management rules.

Tags

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