Screening Chinese Stocks with Volatility, Limit-Ups, and Positive MACD

Summary

This post describes a Chinese equity screen combining daily amplitude above one percent, at least one limit-up day in the preceding twenty-five trading days, and a positive daily MACD reading. Its rationale is that larger price ranges and recent limit-ups indicate activity, while positive MACD is intended to identify upward momentum. It includes example indicator logic and sample implementations for screening historical price data.

The post offers no measured backtest results, so its suggested relationship between these conditions and future gains remains unverified. It cautions that historical signals may not predict future performance, MACD outcomes depend on moving-average parameters, and volatile shares can pull back. It suggests testing parameter choices, adding fundamental or technical filters, and setting position sizes and exit rules in line with risk tolerance and trading costs. The example screening logic should be checked against the intended limit-up definition and data adjustments before use.

Key ideas

• The screen requires daily amplitude above one percent, a limit-up event within the preceding twenty-five trading days, and positive MACD.
• The post interprets amplitude and limit-ups as signs of activity and MACD as a trend filter.
• The document supplies example screening logic but gives no backtest evidence for profitability.
• It highlights parameter sensitivity, price volatility, trading costs, and the value of risk controls.

Tags

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