Screening Shanghai-Listed Stocks by Daily Range and MACD

Summary

The proposed stock screen combines a daily amplitude threshold with a MACD condition above the zero line, then limits candidates to codes beginning with 60. Its rationale is that larger price movement may provide opportunity and a positive MACD condition may indicate upward momentum. The document also warns that restricting the universe by code can exclude otherwise attractive companies and recommends considering financial and market factors, other board segments, and risk controls.

The screening logic is illustrative rather than a complete, validated trading system. The accompanying formula and Python example are reference material, and the document provides no backtest, execution rules, portfolio construction method, or performance evidence. It also incorrectly associates codes beginning with 60 with Shenzhen small and medium enterprise stocks; this code prefix generally identifies Shanghai-listed securities. The stated amplitude calculation and threshold should likewise be checked carefully before implementation.

Key ideas

• The screen combines a daily amplitude filter, a MACD condition above zero, and a code-prefix universe restriction.
• The source attributes volatility and positive MACD to opportunity and upward momentum, respectively.
• A narrow code-based universe can exclude stocks that otherwise meet an investor’s criteria.
• The document recommends adding fundamental, market, and risk considerations to reduce single-filter bias.
• The code-prefix exchange classification in the source is inaccurate, and the examples are not performance-tested.

Tags

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