Chinese Stock Screen Using Amplitude, Limit-Ups, and Lagged MACD
Summary
This stock-selection note combines three technical conditions: daily amplitude above a threshold, at least two limit-up events over a 500-day lookback, and a MACD reading below zero from two days earlier. It presents the combination as a way to find stocks with strong past price moves while using a lagged MACD condition to identify possible trend reversals. The document gives formulas and rough code examples for calculating amplitude, counting limit-ups, and applying the shifted MACD filter.
No backtest, sample, return series, or comparison with a benchmark is provided, so the proposed reversal interpretation is unverified. The note itself cautions that technical filters may omit fundamentals and macroeconomic conditions, and that simple rules can miss relevant details. Its implementation examples are illustrative rather than a fully specified, validated system, leaving the data definitions and practical treatment of limit-up events to be resolved.
Key ideas
- The screen combines an amplitude threshold with a count of recent limit-up events.
- It also requires the MACD value from two days earlier to be below zero.
- The note provides formulas and illustrative code but no backtest evidence.
- It cautions that technical-only screening omits fundamental and macroeconomic factors.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.