Screening A-Shares with MACD, Price, and RSI Filters

Summary

This A-share stock screen selects candidates before each trading day’s open using three conditions: MACD above zero, price below 12, and RSI below 65. The document presents the rules as a technical filter intended to combine a positive trend signal with a price ceiling and an RSI cap. It also includes reference formulas for RSI and MACD and an illustrative Python screening example using daily stock data.

The article offers no backtest results or evidence that these thresholds reduce risk or improve returns. It notes that short-term price moves can make RSI fluctuate and that technical screening alone ignores company fundamentals. Suggested refinements include adding volume-related filters and considering fundamental measures alongside the indicators. The sample implementation is described as a reference that may need adjustment as data updates; the specified selection schedule is pre-open, while the example applies the filters to daily data.

Key ideas

• The screen requires MACD above zero, a price below 12, and RSI below 65.
• Candidates are selected before each trading day’s open.
• The article provides indicator formula references and an example of applying filters to daily stock data.
• RSI can move sharply during short-term market swings, affecting which stocks qualify.
• The method may be complemented with volume and fundamental filters, and no performance evidence is given.

Tags

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