Momentum Screen Using MACD, Recent Limit-Ups, and Daily Gains

Summary

This note proposes screening Shenzhen main-board stocks for a positive MACD reading, a daily gain above 1%, and more than two limit-up sessions within the preceding ten days. Its examples describe ranking selected stocks and provide a daily selection routine that buys new names and removes holdings that no longer qualify. The document offers a rules-based illustration, but no backtest, sample results, or evidence that the combined signals predict future returns.

The author cautions that the filter emphasizes recent price action, may select companies with weak fundamentals, and does not account for sector rotation. Suggested additions include profitability, valuation, sector conditions, and screening out weaker firms. Implementation details are inconsistent: the prose requires more than two limit-ups, one formula uses a threshold of at least two, and the Python example appears to require at least three. The MACD calculation and intraday timing also warrant checking before implementation.

Key ideas

• The screen combines a positive MACD value, a daily gain above 1%, Shenzhen main-board membership, and multiple recent limit-up sessions.
• The proposed method is a short-term momentum filter and includes rules for daily portfolio updates.
• The note provides no backtest or return evidence for the signals.
• The prose, formula, and Python example differ in how many limit-up sessions qualify.

Tags

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