Chinese Stock Screening with Five-Day Strength and Positive MACD

Summary

This Chinese A-share screening method combines four technical and listing filters: daily amplitude above one, exclusion of stocks marked ST, selection before 10 a.m., and a named five-step limit-up approach. It also requires the daily MACD value to be positive. The accompanying example translates the named approach into a five-session condition: each close must be at or above its five-session simple moving average. It calculates MACD from 12- and 26-session moving averages, with a nine-session signal average.

The article explains that the screen relies on price-based signals and excludes company fundamentals. It warns that market volatility and unpredictability can lead to poor selections, and suggests adding valuation measures or other indicators. No historical returns, benchmark comparison, transaction costs, or validation results are supplied. The example code is illustrative, and the page does not establish that its calculations or timing rules produce a profitable or executable live strategy. The described conditions should therefore be treated as a screening recipe rather than evidence of an edge.

Key ideas

• The screen requires daily amplitude above one and excludes ST-designated stocks.
• It selects candidates before 10 a.m. and requires a positive daily MACD reading.
• The example defines five-day strength as closes at or above the five-session moving average.
• The method uses technical inputs and does not account for company fundamentals.
• The article supplies no performance evidence or transaction-cost analysis.

Tags

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