A-Share Screening with RSI, MACD, and Recent Limit-Up Activity

Summary

This A-share screening idea combines three conditions: RSI below 65, MACD above its zero line, and at least two limit-up moves within a 500-day lookback. The document interprets the RSI filter as avoiding overly heated conditions, the MACD condition as favoring an upward or consolidating trend, and repeated limit-ups as evidence of market attention. It also provides example indicator settings and an implementation outline.

The author warns that the screen can encourage chasing recent price strength and omits fundamentals, company risk, and other relevant factors. Suggested refinements include adding financial and governance checks, other technical indicators or moving averages, and a return-based filter. No backtest results, performance data, or evidence that the combination predicts future returns are provided. The accompanying code also appears to count limit-up-like daily moves over a much shorter rolling window than the stated 500-day condition, so its implementation does not clearly match the described rule.

Key ideas

• The screen requires RSI below 65, MACD above zero, and at least two limit-up moves in 500 days.
• The indicators are intended to combine momentum direction, a moderate RSI reading, and evidence of market attention.
• The document cautions that the screen may encourage chasing and does not assess fundamentals or broader company risks.
• It suggests adding financial, governance, industry, and technical filters, but provides no performance evaluation.

Tags

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