Chinese Stock Screening with Intraday MACD Histogram Signals

Summary

The document describes a Chinese equity screening strategy combining a daily amplitude threshold, exclusion of stocks that hit the upper price limit on the prior day, and a 15-minute MACD condition. The stated rationale is that a contracting negative MACD histogram may signal a better entry point. The example implementation also excludes certain listed stocks and uses intraday bars to calculate MACD before returning a limited set of candidates.

The document supplies no backtest, performance data, or evidence that the signals predict gains. There is also a discrepancy between its description and its code: the code selects a negative MACD value that is lower than the preceding value, which indicates a more negative histogram rather than one becoming shorter. The author notes that unexpected events can hurt results and suggests adding technical, fundamental, and market-context filters. Those suggestions are not evaluated, and the screening rules should be checked against the intended signal before use.

Key ideas

• The proposed screen combines daily amplitude, prior-day price-limit status, and a 15-minute MACD condition.
• The stated entry rationale is that a shrinking negative MACD histogram may precede a price rise.
• The sample code’s comparison selects a more negative current MACD value, which conflicts with the stated shrinking-histogram condition.
• The document offers no backtest or evidence of predictive performance.
• The author suggests adding other technical, fundamental, and market-context filters.

Tags

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