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Screening Shanghai-Listed Stocks by Range and Positive MACD

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Summary

The document describes a daily stock screen requiring a trading range greater than 1% of the opening price, a code beginning with 60, and a positive MACD value. It presents the filter as a way to find more volatile stocks in a particular market segment with positive momentum. The MACD calculation uses exponential moving averages with periods of 12 and 26, then a 9-period signal average; the resulting histogram is tested for positivity. Candidates are sorted by trading volume.

It provides example formula and Python implementations, but no backtest, performance results, or defined entry and exit rules. The text cautions that MACD alone cannot establish investment value and that indicator behavior may differ across stocks and periods. It suggests combining technical and fundamental measures and considering parameter adjustments. The screen is therefore a candidate-selection rule, not a complete, validated trading strategy.

Key ideas

  • The screen selects stocks whose codes begin with 60 and whose daily range exceeds 1% of the open.
  • It requires a positive MACD histogram calculated from 12-, 26-, and 9-period exponential averages.
  • The example implementation sorts qualifying stocks by volume.
  • The document advises combining MACD with other technical and fundamental measures.
  • No backtest results or complete trade management rules are provided.

Tags

EquitiesChina marketsTechnical indicatorsMomentum

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