A-Share Momentum Screen Using Recent Gains and Positive MACD

Summary

This post proposes screening A-share stocks for daily amplitude above 1%, a positive but limited ten-day gain, and a daily MACD value above zero. It presents these filters as a way to identify stocks with recent upward movement and a positive trend signal. The post includes example indicator formulas and Python logic for gathering daily price data and calculating MACD, although the implementation contains additional conditions that are not fully reflected in the written rule.

The author warns that the screen omits factors such as trading volume and company fundamentals, and that MACD is a lagging indicator with limited predictive power. Possible refinements include adding volume, market capitalization, and fundamental measures, combining indicators that capture different market conditions, and tuning MACD thresholds with historical data. The article offers no backtest results, risk-adjusted performance, or evidence that the selection rules are profitable; it describes a candidate screening method rather than a demonstrated strategy.

Key ideas

• The proposed screen requires daily amplitude above 1%, a positive ten-day gain below 35%, and daily MACD above zero.
• The post interprets positive MACD alongside recent gains as evidence of short-term upward momentum.
• The sample implementation includes extra price and data conditions beyond the headline screening criteria.
• The author identifies omitted volume and fundamentals, along with MACD lag, as limitations.
• Suggested refinements include additional market and company filters and historical threshold analysis.

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