Screening Chinese Stocks by Volatility, Profitability, Size, and Weekly MACD

Summary

This document outlines a Chinese equity screening rule combining a daily price range of at least 1%, market capitalization below 10 billion yuan, positive net profit, and a weekly MACD reading above zero. It frames the range condition as a way to find more active stocks, the size limit as a small-cap filter, profitability as a basic quality check, and positive MACD as evidence of an upward trend. The article also sketches an implementation using market data and technical-analysis tools, with additional filters such as positive daily change and net buying by large trades.

The document gives no backtest, performance figures, or evidence that the screen predicts returns. It cautions that static company measures can miss future prospects, MACD does not ensure gains, and technical signals can lead to poor selections when used without broader market and fundamental context. It recommends adapting criteria to market regimes and considering trading frequency and costs. The implementation details should be treated as illustrative: the written rule and example code do not align perfectly, and the code’s weekly data handling may require careful validation.

Key ideas

• The screen combines a minimum daily price range with a market-cap ceiling and positive net profit.
• A positive weekly MACD is used as a trend filter.
• The example implementation adds daily momentum and large-trade flow conditions beyond the stated core rule.
• The article provides no performance test and warns that technical and static fundamental filters are incomplete.

Tags

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