Combining Intraday Stock Filters with Valuation and MACD

Summary

The document presents a Chinese equity selection screen combining daily price amplitude, a shareholder-control measure, and a short-term price-change cap. Its initial version selects stocks with amplitude above 1, a “today controlling” reading above 21, and a 9:25 change below 6%. The article interprets these as filters for active price movement and constrained early gains, though it does not precisely define the proprietary control measure.

It then proposes adding valuation and trend confirmation: positive price-to-earnings below 50 and positive MACD, while changing the price-change window to 30 minutes. Example formula and Python snippets describe a five-stock output sorted by market capitalization. The post warns that relying on short-term changes can overfit and that the original screen omits fundamentals, but supplies no backtest results or evidence that the proposed additions improve returns. Data definitions, timing conventions, and implementation details would need validation before testing or live use.

Key ideas

• The initial screen combines daily amplitude, a shareholder-control reading, and a 9:25 price-change limit.
• The suggested refinement adds positive MACD and a positive price-to-earnings ratio below 50.
• The refined screen changes the price-change observation window to 30 minutes and ranks selected stocks by market capitalization.
• The article flags overfitting and missing fundamental information but provides no performance evidence for its proposed filters.

Tags

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