Chinese Stock Screening with Weekly MACD, Range, and Turnover

Summary

This Chinese equities screening proposal selects stocks using three conditions: daily amplitude above 1, a positive weekly MACD histogram, and turnover between 3% and 12%. The rationale is that price range and a positive weekly momentum signal may indicate technical strength, while turnover aims to identify stocks with moderate activity. The document supplies indicator formula and example Python logic for applying the filters.

It presents no historical performance, risk-adjusted results, or evidence that the screen predicts returns. The sample code also approximates some conditions differently from the stated rules, including using a standard deviation of daily highs for amplitude and a volume-based turnover calculation. The author notes that the screen omits other market and company factors and may fail when conditions change, recommending additional indicators and context. It should therefore be treated as a screening idea requiring precise definitions, validation, and backtesting.

Key ideas

• The proposed screen combines daily amplitude, weekly MACD, and a turnover band.
• A positive weekly MACD histogram is used as a momentum filter.
• Moderate turnover is intended to capture active stocks without selecting the most extreme activity.
• The provided sample implementation does not precisely match every stated indicator definition.
• The document offers no performance evidence and acknowledges regime and omitted-factor risks.

Tags

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