Chinese Stock Screening with Weekly MACD, Opening Gaps, and Valuation

Summary

This Chinese stock screen combines daily price range, weekly MACD, opening auction performance, and a valuation filter. It selects stocks with an amplitude above 1, a positive weekly MACD reading, an opening change between -2% and 5%, and a price-to-book ratio between 1 and 5. The article explains that these conditions aim to find shares with price movement, favorable technical momentum, and bounded opening moves; it also provides example indicator logic and a Python outline for applying the filters.

The post offers no backtest, performance statistics, or evidence that the screen predicts returns. It flags that technical indicators and auction prices omit fundamentals and that the auction cutoff time can affect the calculated move. There is also an implementation inconsistency: the stated final rule uses price-to-book, while the sample formula and Python excerpt use price-to-earnings. The examples are presented as references that require adaptation, so the screen should be treated as a candidate-selection idea rather than a validated trading strategy.

Key ideas

• The screen combines daily amplitude, positive weekly MACD, and an opening change bounded between -2% and 5%.
• The final written rule adds a price-to-book range of 1 to 5.
• The code examples instead refer to a price-to-earnings filter, so the valuation condition is inconsistent.
• The article recommends adding volume and fundamental measures, but provides no performance test.

Tags

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