A-Share Screen for Positive MACD, Low Price, and High Amplitude
Summary
The document presents a daily pre-open stock screen for Chinese A-shares using three conditions: MACD above zero, closing price below 12, and price amplitude above 1. It defines amplitude from the session high and low relative to the prior close, and outlines MACD using short and long exponential averages of closing prices and an average of their difference. A Python example applies the filters to daily stock data, while the text also references indicator formulas for screening.
The article characterizes the screen as a technical filter combining trend, price level, and volatility, but provides no backtest, return figures, comparison group, or evidence that it reduces risk. It warns that large amplitude can reflect disruptive short-term moves and that a low-price cutoff can favor cheaper shares without assessing company quality. Suggested refinements include volume and fundamental criteria. The stated thresholds are screening choices, not demonstrated evidence of a durable edge.
Key ideas
- The screen selects stocks with MACD above zero, price below 12, and amplitude above 1.
- It is intended to run before the market opens each trading day.
- Amplitude is calculated using the high-low range relative to the prior close.
- The article flags volatility and low-price selection as potential weaknesses.
- It suggests adding volume and fundamental measures, but reports no backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.