A-Share Screening with Positive MACD, Positive P/E, and a Capped Opening Gap

Summary

This note describes a daily A-share screening rule applied at the 9:25 opening auction. It selects stocks whose MACD is above zero, whose price-to-earnings ratio is positive, and whose opening price is less than 6% above the prior close. The article interprets positive MACD as an upward trend, positive P/E as a normal valuation reading, and the gap limit as a sign of stability or room below a pressure level.

It supplies indicator formulas and illustrative Python-like filtering and sorting logic, but reports no backtest, performance figures, or empirical validation. The examples also leave implementation details unclear, including how MACD is populated and whether the opening-auction price data are available consistently. The author cautions that market conditions, fundamentals, investor sentiment, and data timing can undermine the screen, and suggests adding indicators or fundamentals and testing the rule before use. These conditions define a candidate list, not evidence that selected stocks are attractive investments.

Key ideas

• The screen combines positive MACD, positive P/E, and an opening gap below 6%.
• It is intended to run at 9:25 on each trading day.
• The article provides formulas and sample filtering logic but no performance evidence.
• It warns that the criteria do not establish sound fundamentals or eliminate market and data risks.

Tags

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