Screening Chinese Stocks by Range, Float Size, and MACD

Summary

This document describes a Chinese equity screen combining daily price range, tradable share count, and MACD. It selects stocks with an amplitude above 1, a circulating share count no greater than 5.5 billion, and MACD above zero. The accompanying explanation treats higher amplitude as a sign of trading activity, the share-count cap as a way to focus on smaller companies, and positive MACD as a possible indication of an uptrend. It also gives formula and Python examples for calculating the indicator and intersecting the three filters.

The document cautions that MACD can lag and produce false signals, and that short-term technical filters omit longer-term trends and company fundamentals. It suggests combining the screen with additional indicators and adjusting thresholds for industry or company-specific conditions. No backtest, performance evidence, or validation of the thresholds is provided, so the rules are best understood as a screening recipe rather than demonstrated evidence of an edge.

Key ideas

• The screen combines price amplitude, circulating shares, and positive MACD.
• The stated thresholds are amplitude above 1 and circulating shares at or below 5.5 billion.
• The document frames positive MACD as a possible uptrend signal while acknowledging its lag.
• It recommends adding other indicators and accounting for industry and company differences.
• The document provides no performance testing for the selection rules.

Tags

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