Filtering Chinese Stocks by Price Range, MACD, and Opening Gap

Summary

This document describes a Chinese equity screening rule combining three technical conditions: daily amplitude above 1%, MACD above zero, and an opening price change between -2% and 5%. It explains the rationale as a way to combine price movement, trend direction, and premarket trading activity, and includes example formula and Python implementations. The examples do not provide performance results or evidence that the filter predicts returns.

The document cautions that the screen omits company fundamentals and that the opening move may not represent the rest of the session. It suggests adding financial and industry information and weighing multiple factors together. The implementation details also appear inconsistent: the prose specifies amplitude above 1%, while the Python example compares a ratio to 0.01, and the formula’s MACD crossover condition may differ from simply remaining above zero. These details would need verification before use.

Key ideas

• The screen selects stocks with amplitude above 1%, MACD above zero, and an opening move between -2% and 5%.
• The proposed rationale combines price range, trend direction, and premarket trading activity.
• The document provides formula and Python examples but no backtest or performance evidence.
• The screen omits company fundamentals, and the opening move may not predict the full session.
• The examples contain implementation details that may not match the stated criteria.

Tags

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