A-Share Momentum Screen Using MACD, Five-Day Average, and Stock Heat

Summary

The post outlines a daily A-share selection process that keeps stocks with MACD above its zero line, a price condition relative to the five-day moving average, and positive investor attention or “heat,” then ranks candidates by heat. It gives the standard MACD components based on 12-, 26-, and 9-period exponential averages, a five-day simple average, and sample code intended to calculate and sort the screen after market close.

The description contains an inconsistency: it says the stock’s average price is above the five-day average, but the sample code instead requires the five-day average to exceed the close. The post also notes MACD’s lag, the narrow horizon of a five-day measure, concentration risk, and the omission of fundamentals and broader market conditions. It suggests cross-checking technical signals and adding longer-term and fundamental filters, but reports no backtest or evidence of returns.

Key ideas

• The screen combines positive MACD, a five-day moving-average condition, and a stock-attention ranking.
• Candidates are intended to be ranked from highest to lowest attention after each trading day.
• The prose and sample code specify opposite relationships between price and the five-day average.
• The post warns that lagging and short-horizon indicators can miss broader market and company conditions.
• No backtest results are provided to support the screen’s effectiveness.

Tags

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