Screening Chinese Stocks with Range, Volume Ratio, and Weekly MACD

Summary

The post describes a Chinese equity screen combining daily price range, relative trading volume, and weekly MACD. It selects stocks with an amplitude of at least 1%, a volume ratio between 1.5 and 6, and a weekly MACD above zero with its MACD line above the signal line. The stated rationale is to find stocks with noticeable movement and active but not extreme trading, while using the weekly indicator as a medium-term trend filter.

The article provides matching formula and Python examples, but no performance results or evidence that the conditions produce an edge. It warns that MACD lags and that relying on this small set of technical conditions can create false signals. It suggests combining technical and fundamental measures, monitoring selections over time, managing position risk, and adjusting thresholds to market conditions. The examples and discussion are instructional; they do not establish suitability across securities, periods, or market regimes.

Key ideas

• The screen combines a minimum daily range with a bounded volume ratio.
• A weekly MACD above zero and above its signal line serves as a trend filter.
• The post gives formula and Python illustrations but reports no strategy performance.
• MACD lag and reliance on a few indicators are identified as limitations.
• The author recommends broader filters, ongoing monitoring, and risk controls.

Tags

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