MACD and Market-Capitalization Filters for Chinese Stocks

Summary

This stock-selection approach combines a positive MACD reading with a company-type condition and circulating market capitalization above 10 billion yuan. The document presents the screen as a way to find stocks with upward price trends, sound fundamentals, and sufficient liquidity. It includes an indicator formula and a Python example that retrieves valuation and price data, calculates MACD, and lists securities meeting the filters.

The discussion offers no backtest, performance figures, or detailed definition of the company-type condition, so it does not establish whether the screen is profitable. It notes that the large-cap threshold excludes smaller companies and that relying on MACD alone leaves out other technical and fundamental information. Trading halts and daily price limits may also affect execution. The suggested direction for refinement is to add financial and technical filters and consider constraints related to size, liquidity, and price.

Key ideas

• The screen selects stocks with MACD above zero and circulating market capitalization above 10 billion yuan.
• The stated aim is to combine an upward trend filter with company fundamentals and liquidity.
• The document gives an implementation example using valuation data, daily closing prices, and MACD.
• A large capitalization cutoff may exclude smaller stocks, while MACD alone offers limited analysis.
• Trading halts and price limits may affect the strategy's execution.

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