Chinese Stock Screening with Weekly MACD and Volatility Filters

Summary

This document describes a Chinese equity screening rule combining daily amplitude above a threshold, a positive weekly MACD histogram, and exclusion of stocks that hit their daily price limit on the previous day. It presents versions of the rule for a stock-selection platform and Python, though the code is illustrative rather than a complete implementation.

The accompanying discussion proposes adding money-flow, market-attention, and fundamental measures such as earnings, returns on equity, and valuation ratios, while applying risk controls. It provides no backtest results or evidence that the filters produce excess returns. The code examples also appear inconsistent with parts of the written logic, particularly around the limit-up exclusion, and the threshold and indicator definitions may depend on platform conventions. Treat the screen as a hypothesis requiring careful implementation and validation.

Key ideas

• The screen combines daily amplitude with a positive weekly MACD histogram.
• It excludes stocks that reached the daily price limit on the prior day.
• The write-up suggests adding market-flow, attention, and fundamental measures.
• No performance evidence is provided, and the sample implementation may not match the stated rule.

Tags

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