Stock Screening with MACD, Recent Highs, and Moving Averages

Summary

This document describes a technical stock screen using three conditions: MACD above zero, the current high matching the highest high of the recent two-day window, and the 20-day moving average above the 120-day moving average. It offers a formula and Python-style example that applies the conditions to constituents of a broad Chinese stock index. The setup combines short-term price strength with a longer-term trend filter.

The text discusses limitations: technical filters can overlook strong fundamentals, moving-average choices are subjective, and signal accuracy depends on suitable parameters. It suggests adding valuation and financial measures such as earnings multiples, book multiples, and return on equity, along with other technical indicators. However, it does not provide backtest results or evidence that the proposed screen predicts returns. The example's valuation function is unimplemented, and its final selection description is broader than the original mechanical rules, so the screen remains a starting point rather than a validated strategy.

Key ideas

• The screen requires MACD above zero, a two-day high condition, and the shorter moving average above the longer one.
• The example applies the filters to stocks in a broad Chinese market index.
• The author notes that technical filters can miss fundamentals and depend on subjective parameter choices.
• Fundamental measures are suggested as additions, but no performance evidence is supplied.
• The sample valuation-ranking function is left unfinished.

Tags

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