Screening Chinese A-Shares with Intraday MACD and Price Range
Summary
This stock screen combines a daily price-range threshold, geographic and board exclusions, and a 15-minute MACD condition. Its stated aim is to find A-shares with a range above one percent while excluding Beijing-listed stocks and selecting for a shortening MACD histogram. The article also suggests adding financial, industry, and management data, and mentions stop-loss and take-profit controls as possible refinements.
It supplies example screening logic and code, but the MACD descriptions are not fully consistent: the stated green-bar-shortening condition differs from parts of the formula and code, including how histogram sign and direction are interpreted. The article offers no backtest results, transaction assumptions, or evidence that the screen predicts gains. The stated threshold and exclusions describe the proposed filter, not demonstrated performance; its outputs would need careful verification and testing.
Key ideas
- The proposed screen combines a price-range threshold with geographic and board exclusions.
- It uses a 15-minute MACD histogram condition to identify shortening bars.
- The article recommends adding fundamental and risk-control inputs as refinements.
- Its prose, formula, and code do not clearly agree on the MACD condition.
- No backtest or performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.