Chinese Stock Momentum Screen Using MACD and Recent Limit-Up Activity

Summary

This Chinese equity screen combines a positive MACD reading with more than two limit-up sessions within a ten-day window. It also names beverage and alcohol import-export conditions, though the screening explanation and code do not clearly operationalize that factor. The proposed combination aims to select stocks with positive momentum and strong recent price action.

The document flags MACD’s lag, the possibility that limit-up counts reflect abnormal market conditions, and sensitivity to company-specific events or changing market conditions. It suggests adding other indicators, company size or financial measures, and industry data. It includes sample indicator and trading code, but the implementation is incomplete and inconsistent: the named trade data factor is not applied, and the excerpts provide no backtest or evidence that the screen predicts returns.

Key ideas

• The screen combines positive MACD with more than two limit-up sessions over ten days.
• The stated beverage and alcohol trade factor is not clearly represented in the screening code.
• MACD may lag, while short-term limit-up activity can be distorted by unusual market conditions.
• The document offers possible extra filters but presents no backtest or measured results.

Tags

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