Screening Chinese Stocks by Daily Amplitude and Weekly MACD

Summary

This post proposes a Chinese equity screen combining daily price amplitude above a threshold, a positive weekly MACD reading represented as a red bar, and exclusion of the STAR Market. It gives formula and Python examples for applying the conditions, then suggests adding indicators such as KDJ or RSI, industry strength, and company fundamentals for further evaluation.

The post presents no backtest, portfolio construction rules, transaction assumptions, or return and risk results, so it does not establish that the screen is profitable. Its example implementations also differ in how they operationalize the amplitude condition: the Python snippet checks the standard deviation of daily highs, while the stated rule refers to amplitude. The weekly MACD conditions likewise need to be checked against the intended definition of a red bar. The author notes that the screen omits fundamentals, market sentiment, and capital flows, and that industry differences can affect selection.

Key ideas

• The proposed screen combines daily amplitude, positive weekly MACD, and exclusion of STAR Market stocks.
• The post supplies example implementations but does not demonstrate historical or live performance.
• Its Python example measures amplitude differently from the stated screening rule.
• The author identifies missing fundamentals and market conditions as limitations and suggests additional analysis.

Tags

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