Screening Stocks by Volatility, MACD, Market Capitalization, and Profitability

Summary

The document describes a stock screen combining daily price range, MACD, company size, and annual profitability. It selects shares with an amplitude above 1, MACD above its zero line, market capitalization below 10 billion yuan, and positive net profit. The stated rationale is to find volatile stocks with a bullish technical signal while limiting the size of companies considered and excluding loss-making businesses.

It provides example indicator expressions and Python-style filtering code, but does not present backtest results or define a complete trading and portfolio-management process. The author notes that a size cutoff may exclude otherwise sound smaller companies, and that small firms may have weak profitability. Suggested refinements include considering trading volume, free-float capitalization, competition, industry outlook, and risk controls. The implementation details also leave ambiguities, including how amplitude is measured and how the MACD condition identifies a signal, so the screen would need careful specification and validation before use.

Key ideas

• The screen combines price amplitude, MACD position, market capitalization, and positive annual net profit.
• The document treats higher amplitude as a volatility filter and MACD above zero as a bullish condition.
• A market-capitalization ceiling is intended to constrain the universe, but may exclude viable firms.
• The document recommends adding liquidity, industry, competitive, and risk considerations.
• No backtest evidence or measured performance is provided.

Tags

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