A-Share Screen Using MACD, Daily Gains, and the Opening Auction

Summary

This Chinese equity screening note combines four conditions: MACD above its zero line, a daily gain greater than 1%, membership in the main board, and a 9:25 a.m. price increase below 6%. It presents the first three as directional or market-universe filters and uses the opening-time threshold to exclude stocks with larger early gains. An accompanying example describes calculating MACD from moving averages and applying the filters before allocating portfolio value across selected shares.

The document offers no backtest, trade sample, or performance data, so it does not establish whether the rules have predictive value. It flags the omission of fundamental analysis and the possibility that a 9:25 observation may be an imprecise basis for selection, and suggests combining additional indicators, fundamentals, and different observation times. The example also leaves important implementation questions unresolved, including how the intraday percentage is measured at the auction and whether the daily gain condition is knowable at the stated selection time. These timing and data issues should be addressed before testing the screen.

Key ideas

• The screen requires MACD above zero and a daily price gain greater than 1%.
• It limits candidates to main-board stocks and caps the 9:25 a.m. gain below 6%.
• The note suggests adding fundamental data and other indicators to broaden the analysis.
• No performance evidence is provided, and the selection time raises data-timing questions.

Tags

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