Screening Chinese Stocks by Amplitude, Market Capitalization, and Weekly MACD

Summary

This post describes a Chinese equity screen combining a daily high-to-low amplitude threshold, a minimum circulating market capitalization, and a positive weekly MACD histogram. It presents the conditions as a way to focus on larger listed companies with price movement and a bullish weekly technical signal. The post also suggests evaluating fundamentals and other indicators alongside the screen.

The document supplies example screening formulas and Python-style pseudocode, but it gives no performance history, benchmark comparison, or evidence that the rules predict returns. Its explanations of volatility, size, and trend are qualitative. There are also differences between the stated rule and code examples: the code uses varying data fields and checks that do not exactly match the described daily amplitude condition. The post warns that the indicators can select poorly and that a weekly histogram alone does not establish a company’s value. Any use would require precise definitions, point-in-time data, and independent testing.

Key ideas

• The proposed screen combines a daily amplitude threshold, a circulating market-capitalization floor, and a positive weekly MACD histogram.
• The post treats amplitude as a volatility-related screen and the weekly histogram as a trend filter.
• It suggests adding fundamental measures or other technical indicators for further evaluation.
• The examples do not consistently implement the stated screening rules.
• No backtest or empirical evidence is provided, and the document cautions that the screen can make selection errors.

Tags

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