A-Share Trend Screen Using Moving Averages, MACD, and RSI

Summary

This note outlines an A-share screening rule requiring the 20-day moving average to be above the 120-day average, MACD to be above zero, and RSI to be below 65. The moving-average relationship is intended to represent an established price trend, the MACD condition a positive or consolidating market state, and the RSI cap relatively moderate momentum. It also provides formula descriptions and a Python example of applying the filters to daily price data.

The article offers no backtest, returns, or comparative evidence, so the screen’s effectiveness is not established. It points out that technical conditions leave fundamentals largely unexamined, MACD can lag, and moving-average signals may produce false breakouts. Suggested refinements include company fundamentals, different moving-average combinations for different industries or market capitalizations, and additional indicators. Such additions are suggestions rather than evaluated improvements.

Key ideas

• The screen combines a 20-day average above the 120-day average, positive MACD, and RSI below 65.
• The moving-average filter represents trend, while MACD and RSI add momentum and market-state conditions.
• The article includes formula descriptions and a daily-price-data implementation example.
• It warns about indicator lag, false signals, and limited fundamental analysis.
• No performance results or backtest evidence are reported.

Tags

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