Combining Recent Limit-Up History with Intraday MACD and RSI Filters

Summary

This Chinese A-share screening proposal combines three conditions: at least two limit-up sessions within a 500-day lookback, a shortening MACD histogram on 15-minute bars, and RSI below 65. It frames the historical limit-up count as a way to include stocks that have shown strong price moves, while the intraday indicators provide a current technical filter. The document also offers illustrative formula and Python implementations, though the code's limit-up test does not clearly implement the stated count condition.

The author cautions that past limit-ups may reflect temporary sentiment rather than lasting business value, and historical signals may not predict future performance. Suggested refinements include adding volume and price measures, sentiment, company results, turnover, and human review of entry and exit points. No backtest results, transaction costs, or out-of-sample evidence are reported, so the proposal should be treated as a screening concept rather than a validated trading system.

Key ideas

• The screen requires at least two limit-up events within a 500-day period.
• It also selects for a shortening MACD histogram on 15-minute bars and RSI below 65.
• Past limit-up moves can reflect short-term market sentiment rather than durable fundamentals.
• The document recommends adding other market and company measures and refining entry and exit rules.
• The supplied code is illustrative and does not establish strategy performance.

Tags

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