A-Share Screening with MACD, Price Range, and Volume Filters

Summary

The document presents an A-share stock screen that requires daily price amplitude above 1%, excludes Beijing-listed stocks, and selects stocks with MACD above zero. Its expanded version adds a price-deviation constraint, fundamental and industry scoring, and a volume filter that compares current volume with a short moving average. The supplied examples rank candidates using additional valuation and volume inputs, though the code and formula references do not align perfectly with the stated thresholds.

The author frames MACD as a trend filter and amplitude as a volatility condition, while warning that the approach can overlook company fundamentals and may be unstable when trading activity is unusual. The article recommends combining signals and considering financial, industry, and liquidity information. It provides no backtest or returns evidence, and some implementation details are inconsistent or incomplete, so the screening logic should be treated as an illustrative proposal rather than a validated strategy.

Key ideas

• The initial screen combines amplitude above 1%, exclusion of Beijing stocks, and positive MACD.
• The expanded proposal adds price deviation, valuation scoring, and above-average volume conditions.
• The author cautions that MACD and market activity alone may produce unstable or incomplete selections.
• The examples contain differing thresholds and lack backtest evidence, limiting reproducibility and validation.

Tags

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