Screening Chinese Stocks by Volatility and Weekly MACD Trend

Summary

This note outlines a Chinese equity screen combining daily price range, a stock-code filter, and weekly MACD conditions. It selects shares whose high-to-low range exceeds 1% of the prior close, whose code begins with 60, and whose weekly MACD signal is above zero. The author presents the range as a volatility filter and the MACD condition as a way to identify an upward trend; using weekly data is intended to reduce short-term noise.

The document gives indicator-formula and Python examples, but reports no backtest, return, or risk statistics. Its own caveats are that MACD alone may miss market moves, high volatility does not imply favorable performance, and restricting the universe by code excludes other stocks. The Python example calculates MACD histogram values from the supplied close series, so its implementation may not fully match the stated weekly MACD rule without weekly aggregation. The screen is therefore a candidate-selection idea rather than evidence of a profitable strategy.

Key ideas

• The screen requires a daily high-to-low range greater than 1% of the prior close.
• It restricts candidates to Chinese stocks with codes beginning with 60.
• The stated trend filter is weekly MACD above zero.
• The document warns that volatility and a single technical indicator do not establish investment quality.

Tags

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