A-Share Screening with Daily Volatility, Recent Limit-Ups, and MACD

Summary

This document outlines a Chinese-stock watchlist screen combining daily price range, a recent limit-up event, and a shortening MACD histogram on a 15-minute interval. Its rationale is that active price movement and a past sharp rise may identify candidates with momentum, while a contracting negative histogram may signal a pullback that could offer an entry point. It provides example indicator logic and Python code intended to implement the conditions.

The article gives no performance results or evidence that the screen predicts returns. It warns that technical signals omit fundamentals and that MACD lags, and suggests adding company, industry, valuation, or other indicator filters. The examples also use differing lookback windows for the limit-up condition, and the Python excerpt has data and resampling assumptions that may need checking before use. The described rules therefore serve as a screening idea, not a validated trading system.

Key ideas

• The screen combines daily range above one percent with a recent limit-up event and a 15-minute MACD histogram condition.
• The proposed interpretation is that a shortening negative histogram may indicate a pullback after prior strength.
• The article supplies example formulas and Python code, but does not report a backtest or live results.
• It cautions that technical indicators omit fundamentals and that MACD signals can lag.

Tags

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