Chinese Equity Screen Using MACD and Company Classification

Summary

This Chinese-language document outlines an A-share screening rule that combines MACD with a company classification filter. It seeks stocks where MACD is above zero and the MACD histogram’s green bars are shortening on a 15-minute interval, while excluding several company categories, including technology innovation board listings. The article includes formula and Python examples that use market data and security classification fields to identify candidates.

The screen is a technical and categorical filter rather than a complete trading system: it does not specify entries, exits, position sizing, or a validated holding period. The article presents no backtest results or evidence that the conditions predict returns. It cautions that a shortening negative histogram does not ensure sound fundamentals and recommends considering factors such as liquidity, financial condition, profitability, and industry. Its stated exclusions also narrow the opportunity set and may omit stocks that later perform well.

Key ideas

• The screen requires MACD to be above its zero line.
• It looks for shortening green MACD histogram bars on a 15-minute interval.
• The rule excludes stocks based on several company classification codes.
• The article provides formula and Python examples for applying the screen to Chinese equities.
• It reports no performance test and recommends adding fundamental checks.

Tags

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