Screening Chinese Robot Stocks with Turnover and Weekly MACD

Summary

This post describes a Chinese equity screen combining robot-concept membership, float market capitalization below 10 billion yuan, turnover between 3% and 12%, and a weekly MACD crossover. The crossover is defined as MACD DIFF moving above DEA after being below it in the previous period. The proposed screen sorts qualifying stocks by turnover and includes sample implementations for a market-data platform and Python.

The author says the weekly signal adds a view of price direction, while warning that it may exclude otherwise attractive stocks and that indicators may not work well together. Suggested refinements include relaxing filters and adding other technical analysis. The examples have inconsistencies with the stated rules: the Python sample uses different turnover bounds and adds profitability and foreign-holdings filters, while its weekly MACD calculation appears to compare repeated current-period values rather than prior-period values. No performance results or backtest evidence are provided, so the screen should be treated as a hypothesis to test.

Key ideas

• The screen targets robot-themed Chinese stocks with float capitalization below 10 billion yuan and turnover from 3% to 12%.\nA weekly MACD crossover requires DIFF to rise above DEA after being below it in the prior period.\nThe post recommends sorting selected stocks by turnover.\nThe code examples do not fully match the stated rules, and the Python example contains apparent signal and filter inconsistencies.\nThe post provides no backtest or evidence of profitability.

Tags

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