Screening Chinese Stocks by Amplitude, Turnover, and Daily MACD

Summary

This stock-selection rule combines a minimum daily price amplitude, a bounded turnover rate, and a positive daily MACD reading. The stated rationale is to use amplitude and turnover as measures of trading activity, then use MACD as a technical filter intended to favor stocks with upward momentum and exclude some short-term decliners. The post also gives illustrative formula and Python approaches for applying the screen and selecting a sample of qualifying stocks.

The author cautions that the screen omits company fundamentals and financial condition, and that MACD can be sensitive and imperfect. Suggested refinements include combining technical signals with other indicators and fundamental measures, while managing position size and exits. The examples are references rather than a validated implementation: in particular, the turnover calculation shown uses recent volume observations and is not clearly equivalent to a standard turnover rate. No backtest results or evidence of sustained returns are supplied, so the rule should be treated as a screening idea rather than an established investment strategy.

Key ideas

• The screen requires daily amplitude above its stated floor, turnover within a stated band, and daily MACD above zero.
• Amplitude and turnover are used to represent trading activity, while MACD serves as a directional technical filter.
• The post warns that the screen omits fundamental and financial information and that MACD may be noisy.
• It recommends combining signals with other analysis and managing position size and exits.
• The code examples are references, and the document supplies no performance validation.

Tags

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