A-Share Screening with Amplitude, Prior MACD, and Opening Gains

Summary

This document describes a Chinese A-share screening rule combining three conditions: amplitude above 1, MACD below zero two days earlier, and a gain below 6% around 9:25. It presents the screen as a way to combine a volatility measure, a trend signal, and a short-term market condition. The accompanying examples also add filters such as market capitalization and exclude certain listing categories, but the article’s descriptions and code do not align perfectly on how amplitude and MACD are calculated or timed.

The article provides sample query and Python implementations, then suggests adding fundamental and industry criteria and adjusting thresholds to fit market conditions. It reports no performance figures or validation results, so the rule’s profitability and stability are not established. The authors flag dependence on technical and short-term signals, changing market conditions, and the possibility of unstable selections. The screen is therefore a proposal for further evaluation, not evidence of a tested strategy.

Key ideas

• The screen combines an amplitude threshold, a lagged MACD condition, and a limit on the opening gain.
• The examples also apply market-capitalization and listing-type filters.
• The article recommends adding fundamental and industry information to broaden the selection criteria.
• No performance evidence is supplied, and the stated risks include sensitivity to market changes and short-term signals.

Tags

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