A-Share Screening with Daily Range and Prior MACD Conditions

Summary

This stock screen combines a daily price-range threshold with a geographic exclusion and a MACD condition described as negative two days earlier. The article also discusses excluding stocks that rose to the daily limit on the previous day, although its stated initial rule and code do not consistently include that filter. A later formulation adds a circulating-market-value constraint and suggests considering fundamentals and valuation.

The post explains the conditions in general terms and supplies indicator-formula and Python examples, but it offers no backtest, performance evidence, or detailed rationale for the thresholds. Its descriptions of MACD timing and direction are inconsistent: the prose says the earlier MACD is below zero, while the example code checks a turning pattern. The screen is therefore a rough selection template, and the post itself cautions that short-term price signals can overlook company fundamentals and carry elevated market risk.

Key ideas

• The proposed screen uses daily price amplitude and excludes Beijing-listed A-shares.
• The stated MACD condition concerns a value from two days earlier, but the sample code tests a different pattern.
• The discussion also mentions excluding prior-day limit-up stocks, though this is not consistently reflected in the rule or examples.
• The post recommends adding valuation, fundamental analysis, and risk controls.
• No empirical performance results are provided.

Tags

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