Screening Shanghai-Listed Stocks by Amplitude and Rising MACD DEA

Summary

The document presents an equity screen for stocks whose codes begin with 60, whose daily high-low amplitude exceeds 1% relative to the prior close, and whose MACD DEA value is rising. Its final stated criteria also impose a minimum market capitalization of 1 billion yuan. The accompanying formulas and Python example illustrate calculating amplitude, identifying the code prefix, comparing consecutive DEA values, and applying a size filter.

The rationale is that larger amplitude indicates higher volatility and a rising DEA may reflect a strengthening trend. The document cautions that high-amplitude stocks carry greater risk and that one technical indicator cannot capture a stock’s full investment profile. It suggests combining technical measures with fundamentals or a multi-factor approach. It offers no backtest results or evidence that the screen predicts returns, and its code example does not establish a complete portfolio or trading process.

Key ideas

• The screen selects stocks with codes beginning with 60 and daily amplitude above 1% of the prior close.
• It requires the MACD DEA measure to rise from its previous value.
• The final criteria include a minimum market capitalization of 1 billion yuan.
• The source warns that high amplitude increases risk and a single indicator is incomplete.
• It suggests adding fundamental data or combining several factors, but supplies no performance validation.

Tags

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