A-Share Screening with Daily MACD Crossovers and Price Amplitude

Summary

This stock-selection rule screens for A-shares whose daily high-low range exceeds 1% of the low price, excludes Beijing-listed stocks, and requires daily MACD to cross above zero. The document presents the rule as a combination of price amplitude, a regional exclusion, and a momentum signal. Its illustrative formulas also show a version that sorts qualifying stocks by circulating market value, though the core selection logic does not specify a market-value threshold.

The discussion notes that a single technical indicator can miss relevant information, excluding Beijing stocks may introduce selection bias, and high-amplitude shares can suffer larger drawdowns. It suggests combining technical signals with market capitalization and fundamental information, but supplies no backtest or return evidence. The included example code is illustrative and would require validation against the intended data fields and trading conventions before use. The screen is therefore a rule for generating candidates, not evidence of a complete or risk-controlled strategy.

Key ideas

• The screen requires daily price amplitude above 1% and a daily MACD move from zero or below to positive territory.
• It excludes Beijing-listed A-shares, which may create selection bias.
• The document identifies larger drawdowns and the blind spots of relying on one technical indicator as risks.
• It suggests adding market capitalization, other indicators, and fundamental checks but reports no backtest results.

Tags

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