Chinese Stock Screen Combining Volatility, MACD, Volume, and a Gap-Up

Summary

This note describes a momentum-oriented stock screen with four conditions: amplitude above 1%, MACD crossing above zero, current volume above 10,000 lots, and an opening price above the previous session’s high. The proposed rationale is that a volatile move, positive MACD signal, elevated trading activity, and a strong opening may together identify stocks with buying interest. The article suggests adding price-pattern, volume-price, or financial filters to refine candidates.

It supplies indicator expressions and a Python-style example, but does not show a backtest, trade outcomes, or evidence that the combined signals predict returns. The examples also require careful review: the code refers to indicator functions and a reference operator without defining them, and the written amplitude calculation may not exactly match the stated condition. The note acknowledges that the screen omits other influences on prices. A gap above the prior high and high volume can also coincide with sharp reversals, while MACD and amplitude depend on parameter and data choices. The criteria should be validated on consistent data before use.

Key ideas

• The screen combines amplitude, a MACD zero-line crossover, high current volume, and an opening gap above the prior high.
• The author interprets these conditions as evidence of volatility, positive momentum, attention, and optimism.
• Additional pattern, volume-price, or financial filters are suggested.
• The article provides no performance results, and its sample implementation needs validation.
• Gap-ups and high-volume moves can reverse, so the conditions alone do not establish a reliable strategy.

Tags

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