A Stock Screen Using Price Range, Weekly MACD, and Recent Limit-Ups

Summary

This proposed Chinese stock screen looks for shares with an amplitude above 1, a positive weekly MACD histogram, and more than two limit-up days within ten days. The post interprets these conditions as a mix of price movement, short-term upward direction, and market attention. It includes sample formula and Python snippets, but provides no backtest, benchmark comparison, or measured return and risk results.

The author notes that the screen may select highly volatile shares and chase short-lived popular stocks, while overlooking company fundamentals. Suggested improvements include adding quality measures such as profitability and testing other technical indicators or different lookback settings. The examples also leave room for interpretation: the written rule specifies weekly MACD and an amplitude threshold above 1, while the sample code uses daily MACD and a different-looking amplitude threshold. The limit-up counting logic shown may also be an imperfect proxy for actual limit-up events. These inconsistencies mean the intended rule needs clarification and careful validation before its results can be assessed.

Key ideas

• The proposed screen combines amplitude above 1, a positive weekly MACD histogram, and more than two limit-up days in ten days.
• The selection logic aims to capture active, upward-moving stocks that have attracted market attention.
• The author warns that the criteria can favor volatile, recently popular shares and omit fundamental quality.
• The sample implementation differs from parts of the written rule, including its MACD timeframe and amplitude threshold.
• The document gives no empirical performance results.

Tags

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