A-Share Screen Using MACD, a Price Cap, and the 10-Day Average

Summary

The document proposes a daily Chinese A-share screening rule using three conditions: MACD above its zero line, share price below 12 yuan, and the opening price within five percent of the 10-day simple moving average. It says the screen is run before 10 a.m. and provides example indicator logic and Python-oriented implementation guidance. The method combines a momentum-style indicator with a low nominal price threshold and a short-term moving-average proximity condition.

The author identifies data quality, market volatility, and the possibility that selected stocks may not continue rising as risks. Suggested refinements include adding fundamental or valuation measures, reviewing the rules as market conditions change, and assessing risk before allocating funds. The document offers no backtest, benchmark, or return evidence, and it cautions that data interfaces and implementation details may need adjustment. Its screening conditions alone do not specify a complete portfolio, entry execution, or exit and position-sizing policy.

Key ideas

• The screen selects stocks with MACD above zero, price below 12 yuan, and an open near the 10-day moving average.
• The stated selection schedule is before 10 a.m. on each trading day.
• The document identifies data quality, market volatility, and uncertain future price direction as risks.
• It suggests adding fundamental or valuation criteria and periodically reviewing the screening rules.
• No backtest or performance evidence is provided, and the screen does not define a complete trading and portfolio process.

Tags

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