Combining RSI, Market Capitalization, and MACD for Stock Selection

Summary

The strategy screens Chinese mainland stocks using three conditions: RSI below 65, a circulating market capitalization between 5 and 10 billion yuan, and a shortening MACD histogram on 15-minute bars. The rationale is that RSI constrains the short-term momentum regime, capitalization limits the size segment, and a shrinking negative histogram may indicate easing selling pressure. The article also suggests adding valuation, profitability, industry, liquidity, or broader market factors.

It discusses risks: the signal ignores the overall market trend and can produce false entries, so risk controls and broader analysis are needed. The supplied code example sketches filters for stock status, industries, board, capitalization, and intraday MACD, but its implementation should be treated cautiously: the RSI reference appears inconsistent with a conventional RSI calculation, and the MACD comparison checks whether the latest value is below the prior value rather than explicitly verifying that the histogram is negative and shortening. No backtest results or evidence of returns are provided.

Key ideas

• The screen combines an RSI ceiling, a market-cap range, and a 15-minute MACD histogram condition.
• The proposed rationale treats a contracting negative histogram as weakening selling pressure.
• The article acknowledges that ignoring the broader market trend can create false signals.
• It proposes adding fundamental, industry, and liquidity factors for a broader screen.
• The code’s MACD check does not explicitly confirm a negative histogram that is shrinking.

Tags

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