Pre-Market Stock Screen Using MACD, Two-Day Highs, and a 6% Gap Limit

Summary

This A-share screening rule combines three conditions: a MACD signal above or crossing the zero axis, a recent high that is the highest across a two-day window, and a pre-market gain below 6% as measured around 9:25. The document provides an indicator formula and a Python-style example that checks daily highs and uses an early-minute open as a proxy for the pre-market price. The example applies the screen to constituents of a broad Chinese index and mentions valuation sorting as a possible extension.

The approach aims to find technically strong stocks whose pre-market rise has not already exceeded the stated threshold. No historical test, return data, or risk-adjusted evidence is supplied. The article cautions that a fixed pre-market observation can miss other price influences, and that technical filters leave out company fundamentals. It recommends considering volume-price and fundamental measures, while noting that the formula implementation depends on platform data fields and timing conventions.

Key ideas

• The screen combines a MACD zero-axis condition with a two-day high test.
• It excludes stocks whose indicated pre-market gain reaches the stated 6% threshold.
• The example uses index constituents and a minute-level open to represent the early price.
• The article gives no backtest or evidence that the conditions predict returns.
• Technical-only screening may omit fundamental information and broader pre-market effects.

Tags

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