A-Share Screen Using Positive MACD, Stock Heat, and Daily Return Bounds

Summary

This proposed China A-share screening rule runs after each trading day’s close. It keeps stocks whose MACD histogram is above zero and whose daily percentage change falls between -5% and 2.6%, then ranks qualifying names by market heat from highest to lowest. The post also gives the standard exponential-average construction for MACD and illustrative screening code.

The rationale is that positive MACD may indicate short-term trend strength, while heat approximates investor attention; the return band is intended to filter out some outsized daily moves. The document reports no backtest or live performance evidence. It flags omitted company fundamentals, possible concentration among selected stocks, and failure to account for broad market or macroeconomic conditions. It suggests adding other signals and adjusting criteria, but does not specify or validate those refinements.

Key ideas

• The screen selects stocks with a positive MACD histogram and daily returns between -5% and 2.6%.
• Qualifying stocks are ranked by heat, with the most popular names first.
• The screening process is scheduled for after each trading day’s close.
• The post gives no performance evidence and notes risks from missing fundamentals, concentration, and market-wide conditions.
• It suggests adding further indicators and macroeconomic monitoring as possible refinements.

Tags

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