Chinese Stock Screen Using MACD, Rising DEA, and Ten-Day Returns

Summary

The document proposes a Chinese equity screen requiring MACD to be above zero, the DEA signal line to be rising, and the ten-day return to be positive but below 35%. It presents the indicators as a way to identify favorable short-term trend conditions while limiting selection of stocks with very large recent gains. The article also suggests adding longer-term trend checks, market or sector selection, and fundamental measures.

It identifies risks including indicator failure, reversals after sharp gains, and price moves driven by speculation or company-specific issues. The sample code includes a stop-loss rule and a large-cap universe, but it does not report a backtest or performance evidence. The prose and code also differ in places: the formula describes DIF above DEA, while the stated screen emphasizes a rising DEA; the code's return calculation uses prior closes. The screen is therefore an unvalidated rule, with implementation details needing clarification.

Key ideas

• The proposed screen combines MACD above zero, a rising DEA line, and a positive ten-day return below 35%.
• The document warns that technical signals can fail and recent gains may reverse.
• It suggests adding longer-term trend, sector, and fundamental checks.
• No performance evidence is presented, and the example formula and code do not fully align with the stated conditions.

Tags

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