Screening Shenzhen Stocks by Weekly MACD, Amplitude, and Valuation
Summary
The document presents a stock screen combining a daily amplitude threshold, a positive weekly MACD signal, and valuation limits for price-to-earnings and price-to-book ratios. It describes the target universe as Shenzhen main-board stocks and gives example implementations in a charting formula and Python, including checks for index membership and recent MACD values. The stated rationale is to combine price movement and trend signals with valuation filters.
No performance history, benchmark comparison, or out-of-sample test is provided, so the screen should be treated as a selection rule rather than an evidenced strategy. The article itself notes that fixed valuation cutoffs may exclude high-growth companies or behave poorly across sectors, and suggests considering industry characteristics and growth measures. Its formula and code also appear to use differing index and signal definitions, which would need to be reconciled before implementation. The source does not specify a complete portfolio, rebalance schedule, transaction-cost model, or exit rules.
Key ideas
- The screen combines a daily amplitude condition with a positive weekly MACD reading.
- It applies positive price-to-earnings and price-to-book ranges to a Shenzhen stock universe.
- The article proposes sector and earnings-growth information as possible additions to the screen.
- It provides example formula and Python implementations, but their index and signal details are not fully consistent.
- The document reports no backtest evidence or portfolio-level rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.