Screening Chinese Stocks by MACD, Trading Imbalance, and Limit-Ups

Summary

This stock screen combines three conditions: MACD above its zero line, a buy-side to sell-side trading volume ratio above 1.3, and at least two limit-up sessions during the prior 500 trading days. The document presents the conditions as a way to find stocks with positive trend signals and a history of sharp price moves. It also sketches indicator formulas and a Python example for checking candidates, though the example’s volume fields and MACD calculation are not clearly aligned with the stated criteria.

The accompanying discussion warns that the screen omits company fundamentals and broader market conditions, relies heavily on historical and short-term signals, and may be subjective. It suggests adding valuation measures and a market-trend filter. No backtest, performance evidence, or execution details are provided, so the screen’s predictive value is unestablished. Limit-up history and trading-volume imbalance can also be regime-dependent and should be defined consistently before evaluating results.

Key ideas

• The screen requires MACD to be above zero and the buy-side volume ratio to exceed 1.3.
• It also requires at least two limit-up sessions within the previous 500 trading days.
• The document recommends considering valuation and broad market conditions as additional filters.
• The examples are illustrative and do not provide backtest evidence or establish predictive performance.

Tags

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