A Stock Screen Combining Intraday MACD, Amplitude, and Two-Day Highs

Summary

This Chinese stock-screening note combines three conditions: amplitude above 1, a shortening negative MACD histogram on a 15-minute chart, and a high equal to the highest level of the prior two days. It includes example indicator formulas and a Python outline for applying the filters, then sorting candidates by trading amount. The screen is intended to identify stocks with short-term technical strength near a recent high.

The note cautions that technical signals may omit fundamental information, that high-amplitude stocks can carry elevated risk, and that buying near a high may produce poor timing. Suggested refinements include adding fundamentals, price and volume momentum, and measures based on multiple periods or volatility. No empirical performance results are supplied, and the examples do not establish that the conditions are profitable. The amplitude condition and the accompanying example code may also use different data fields, so the implementation should be checked before use.

Key ideas

• The screen requires amplitude above 1, a contracting negative MACD histogram on a 15-minute chart, and a two-day high.
• The note provides formula and Python examples for implementing the combined filters.
• It warns that technical screening can overlook fundamentals and expose traders to volatile stocks.
• It proposes adding momentum, volume, fundamental, and multi-period measures, but provides no performance evidence.

Tags

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