Chinese Stock Screen Using Intraday MACD and Opening Price Change

Summary

This stock-screening recipe combines three conditions: amplitude above 1, a shrinking negative MACD histogram on a 15-minute chart, and a 9:25 a.m. price rise below 6%. The explanation treats amplitude as a way to find volatile stocks, the contracting MACD histogram as a possible sign of a change in direction, and the opening price filter as a way to exclude stocks that have already risen sharply. It also sketches indicator formulas and a Python workflow for filtering market data.

The document cautions that opening behavior can change in unusual conditions, such as new listings, and that amplitude alone can select illiquid stocks. It suggests adding fundamental and technical criteria and adjusting the opening threshold to market conditions. No backtest, measured performance, or validation is supplied, and the examples do not establish that the filters predict returns. Data availability and the precise interpretation of amplitude and opening auction prices also affect whether the screen can be reproduced as described.

Key ideas

• The screen requires amplitude above 1, a shortening negative MACD histogram on a 15-minute chart, and a 9:25 price rise below 6%.
• The document presents the contracting histogram as a possible indication of a developing price change.
• It warns that opening behavior may be unstable in unusual conditions and that amplitude filters can include illiquid stocks.
• It recommends combining the screen with other fundamental or technical measures and adapting the opening threshold.
• The recipe includes no performance testing or evidence that the conditions predict returns.

Tags

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