A Chinese Stock Screen Combining MACD, Recent Limit-Ups, and a Two-Day High

Summary

This document presents a Chinese equity selection rule requiring MACD above zero, the current high to match a two-day high, and more than two limit-up events within ten days. It explains these conditions as indicators of positive momentum, a nearby price high, and market attention. Formula and Python examples are included, along with a proposal to add fundamental indicators and valuation-based ranking.

The author identifies several limitations: frequent limit-ups do not establish company quality, the signal may not align with a suitable entry or exit, and reliance on historical highs can lag or exclude volatile stocks. The examples do not establish that the screen is profitable, and their precise implementations may not fully match the written rules. The document offers no backtest evidence; readers would need to define the signals consistently and test them with appropriate timing and risk controls before considering live use.

Key ideas

• The screen combines positive MACD, a high matching the two-day maximum, and more than two recent limit-up events.
• The proposed conditions aim to capture short-term momentum and trading attention.
• Limit-up frequency alone does not reveal financial quality or guarantee useful trade timing.
• The author suggests adding fundamental measures and other technical indicators.
• No backtest results are provided to validate the rule’s performance.

Tags

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