A-Share Screening with Daily Amplitude and Rising DEA

Summary

This note describes a Chinese stock screen combining daily price amplitude above 1, exclusion of stocks that hit the upper price limit on the prior day, and a rising DEA value from MACD. The stated rationale is to find stocks with recent upward momentum while avoiding those that had already reached the daily limit. It also sketches a formula for calculating DEA and an example workflow using market data, though the sample code mixes index-level MACD data with individual stock screening and includes additional filters beyond the headline rules.

The document warns that the screen relies on technical indicators and omits company fundamentals, and that indicator signals can be subjective and sensitive to changing market conditions. It suggests combining technical and fundamental factors or using adaptive modeling, but provides no performance results or evidence that the proposed screen is profitable. The rule is therefore best understood as a screening idea requiring careful definition, implementation checks, and out-of-sample evaluation.

Key ideas

• The screen selects stocks with amplitude above 1, no prior-day limit-up, and rising DEA.
• DEA is described as a smoothed component of MACD used to gauge price momentum.
• The example code contains extra filters and may not implement the headline rule consistently.
• The note identifies missing fundamental analysis and market sensitivity as key limitations.

Tags

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