Filtering Chinese Stocks by Price Change, Positive PE, and MACD Momentum

Summary

This post outlines a Chinese equity screening approach that combines a daily price-change threshold, positive price-to-earnings ratio, and a positive MACD histogram. It presents these filters as ways to select stocks with recent price movement, reported profitability, and upward technical momentum. The post then proposes adding return on equity, net margin, and industry-relative valuation checks for a broader screen, and includes example Python snippets for retrieving price data and applying some of the conditions.

The author cautions that a positive PE filter can exclude loss-making growth companies and that price movement alone may overweight volatility. The post gives no backtest, return figures, or evidence that the screen is profitable. Its sample code leaves the fundamental and industry filters unfinished, and the written condition for MACD is not fully consistent with the code’s histogram calculation, so implementation details need independent checking.

Key ideas

• The proposed screen combines a daily price-change threshold, positive PE, and a positive MACD histogram.
• The post suggests adding profitability measures and industry-relative valuation checks.
• It warns that positive PE excludes currently unprofitable companies and that price movement can overemphasize volatility.
• The code leaves some filters incomplete and does not establish performance through backtesting.

Tags

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