Screening Profitable Small-Cap Stocks with MACD and DEA

Summary

This proposed Chinese equity screen looks for companies with market capitalization below 10 billion yuan, no reported losses, MACD above its zero axis, and a rising DEA line. It combines a momentum-style technical filter with size and profitability conditions. The document discusses the rationale for pairing price-trend signals with basic financial screening and includes an illustrative portfolio script with a loss-triggered exit and a limit on the number of holdings.

The stated caveats include short-lived or ineffective technical signals, unreliable financial disclosures, and the possibility of excluding stable large industry leaders. Suggested refinements include checking longer-term trends, considering sector selection, and adjusting size rules for industry leaders. The examples do not establish that the screen is profitable: they provide no backtest performance, and the described code leaves financial loss filtering incomplete. The proposed conditions and implementation therefore need careful specification and evaluation before use.

Key ideas

• The screen combines MACD and rising DEA conditions with a market capitalization ceiling and a no-loss requirement.
• The document presents the technical and fundamental filters as complementary selection criteria.
• Its example code includes a portfolio holding limit and a loss-triggered exit condition.
• The author identifies signal decay, financial disclosure quality, and sector differences as risks.
• No performance evidence is supplied, and the example does not fully implement every stated filter.

Tags

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