Screening Chinese Equities with Volatility, Top-List Flows, and MACD

Summary

This community post outlines an equity screen combining three conditions: prior-day price amplitude above a threshold, appearance on the prior day’s trading activity list with buying value greater than selling value, and MACD above zero. The rationale is to find volatile stocks with signs of net buying and positive momentum. It gives example formula and Python sketches, then suggests ranking qualifying names by turnover and selecting a fraction of the universe.

The post offers no backtest, performance statistics, or evidence that the screen predicts returns. It notes that MACD can give false signals and that chasing popular stocks may concentrate risk. It recommends adding fundamental and macro analysis or combining multiple factors. The examples should be treated as conceptual: data timing, indicator conventions, universe selection, and implementation details would need validation before use, and the post does not specify a tested holding period or exit rule.

Key ideas

• The screen combines prior-day amplitude, net buying on a trading activity list, and MACD above zero.
• The author interprets these filters as volatility, buying interest, and positive trend conditions.
• The example ranks qualifying stocks by turnover and selects a portion of the universe.
• The post provides no performance test, holding period, or exit specification.
• The author warns about false MACD signals and concentration from chasing popular stocks.

Tags

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