Screening Chinese Stocks by Volatility, Volume, Gaps, and MACD

Summary

This note describes a Chinese stock screening rule combining daily amplitude above 1, trading volume above 10,000 lots, an opening price above the prior close, and a rising MACD DEA line. It presents the screen as a way to find actively traded, volatile stocks showing short term upward momentum. It also gives an indicator formula and a Python example that applies price and MACD conditions to stock data.

The article cautions that the method relies on technical indicators and may miss fundamental risks; it suggests combining technical signals with measures such as valuation. It provides no backtest, performance data, or evidence that the screen predicts future returns. The Python example has potential inconsistencies with the stated rule, including a high versus open comparison and data drawn from an index series for the MACD calculation, so the implementation should be checked before use.

Key ideas

• The screen combines amplitude, trading volume, a positive opening gap, and a rising MACD DEA value.
• The stated thresholds are amplitude above 1 and volume above 10,000 lots.
• The article recommends adding technical or fundamental measures to broaden the analysis.
• The examples do not establish performance, and the Python implementation may not match the described conditions.

Tags

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