A Stock Screen Combining Intraday MACD, Range, and Control Measures

Summary

This document proposes a Chinese equity screen combining three conditions: a price range threshold, a shrinking negative MACD histogram on a 15-minute chart, and a proprietary daily control measure above a threshold. The stated rationale is to find more volatile stocks where downside momentum may be weakening while buying or control pressure appears to be increasing. It includes example indicator formulas and a sample workflow for applying the conditions to historical stock data.

The screen is a hypothesis rather than a validated strategy: no performance results, benchmark, or out-of-sample evidence are provided. The document cautions that the control measure does not guarantee future gains and that a large range alone says little about investment quality. Its sample code checks whether the conditions occurred at any point in the retrieved data, which may not match a live, synchronized signal. It suggests adding company and portfolio filters, such as valuation, market capitalization, industry exposure, and stock correlation.

Key ideas

• The proposed screen combines a range condition, a weakening negative 15-minute MACD histogram, and a daily control measure.
• The MACD condition is intended to flag a possible change in short-term downside momentum.
• The document gives formulas and sample code but does not report historical strategy performance.
• A control reading or a large price range does not establish that a stock will rise or is fundamentally attractive.
• Additional valuation, industry, and correlation filters may help refine the candidate list.

Tags

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