A-Share Screen for Positive MACD, Low Price, and a Recent Limit-Up

Summary

This note proposes an A-share screen requiring MACD above zero, a share price below 12 yuan, and exactly one limit-up session in the previous 25 days. It describes running the selection before 10 a.m. each trading day. The stated rationale is that a recent limit-up may indicate market attention and possible upward momentum. The document includes indicator formulas and example Python screening logic, but supplies no backtest results or evidence of predictive performance.

The author flags dependence on accurate market data, sensitivity to events outside the 25-day lookback, and broad market volatility. Suggested refinements include adding fundamental criteria, adapting the rules to changing conditions, and conducting historical tests with risk assessment. The example code is presented as illustrative and notes that data sources and limit-up identification may need adjustment. It does not define position sizing, exit rules, or portfolio-level risk controls.

Key ideas

• The screen combines MACD above zero, price below 12 yuan, and one limit-up in the prior 25 days.
• It is intended to run before 10 a.m. on each trading day.
• The note treats a recent limit-up as a possible sign of attention and momentum.
• Data quality and the limited lookback period are identified as risks.
• The document recommends further testing and risk assessment but provides no performance results.

Tags

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