Screening Chinese Stocks by Daily Range and MACD Momentum

Summary

This note describes a simple technical screen for Chinese equities: select stocks with a daily high-low range above one percent and a MACD reading above zero, while excluding the STAR Market. The stated rationale is to focus on volatile stocks with positive momentum and avoid a market segment the author considers higher risk. It suggests adding volume, relative strength, or valuation measures, or using machine learning to combine screening inputs.

The document offers indicator formula references and a sample implementation, but it does not provide a backtest, performance evidence, or a defined holding and rebalancing schedule. Its rationale that greater range may offer greater return is not demonstrated, and excluding a market segment may omit potential opportunities. The sample implementation also appears inconsistent with the stated screen: it applies different price fields and conditions than the formula references, and its MACD output should be checked before use. The criteria therefore need precise definitions and validation before they can support a trading strategy.

Key ideas

• The proposed screen combines a daily range greater than one percent with MACD above zero.
• The screen excludes STAR Market stocks.
• The document suggests adding volume, relative strength, or fundamental measures to the technical filters.
• No backtest or evidence is provided to show that the screen produces returns.
• The sample implementation and formula references differ in their calculations and require verification.

Tags

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