A-Share Screening with MACD, Revenue Growth, and Limit-Up History

Summary

This note describes an A-share stock screen combining three conditions: MACD above its zero line, 2021 revenue greater than 1.1 times 2018 revenue, and at least two limit-up days within 500 days. It interprets these as signals of positive momentum, revenue growth, and sustained market attention. The suggested implementation also mentions a market-cap universe, a price-based exit threshold, and a limit on the number of holdings, although the code’s calculations do not consistently match the stated screening rules.

The document identifies MACD lag, reliance on an old revenue comparison, unstable sentiment signals, and a potentially small candidate pool as risks. It suggests adding other indicators, more financial history, volume or turnover measures, and periodic risk controls. It provides no backtest results or performance evidence, and the code appears to use a moving-average crossover and a short recent price history as proxies for some stated conditions. These inconsistencies mean the screen should be treated as a concept requiring careful implementation and validation.

Key ideas

• The screen combines MACD above zero with revenue growth from 2018 to 2021 and at least two limit-up sessions in 500 days.
• The proposed rationale is to combine trend, business growth, and market activity signals.
• The note flags MACD lag, stale financial comparisons, sentiment instability, and concentration risk.
• Its sample code does not faithfully implement all stated rules, so the screen needs independent verification.

Tags

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