A-Share Screen Combining Price Range, MACD, and Trading Activity

Summary

This proposed A-share stock screen combines three conditions: daily amplitude above 1%, MACD above its zero line, and a product of price change and a large-order net-volume measure above a threshold. Its rationale is to combine a volatility filter, a technical trend signal, and a measure intended to reflect trading activity. The final stated threshold for the product is 0.5.

The document sketches formula and Python implementations, but the examples do not align cleanly: the Python version uses turnover-related fields as a proxy for large-order flow, applies different amplitude scaling, and sets a separate threshold. It offers no backtest results or validation, and acknowledges that relying on a few screening inputs can miss other drivers of returns. The suggested refinements include adding company and industry information and weighting multiple factors, but no tested procedure is supplied.

Key ideas

• The screen requires amplitude above 1% and MACD above zero.
• It combines price change with a measure intended to represent large-order net volume.
• The stated final product threshold is 0.5.
• The code examples use differing formulas and inputs, so their outputs may not match the written rule.
• The document gives no backtest evidence and recommends broader factor coverage.

Tags

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