Screening Chinese Stocks by Intraday MACD and Convertible Bond Status

Summary

The document proposes a Chinese equity screen combining price amplitude above one, a shrinking negative MACD histogram on 15-minute bars, and a nonempty name for an outstanding convertible bond. It interprets the amplitude as a volatility filter and the histogram change as a possible shift in price direction; the bond condition is intended to identify companies with convertible debt. It also suggests adding valuation measures and broader market context.

The text describes the rules and gives example formulas and a Python workflow, but it presents no backtest or evidence that the screen predicts returns. Its code has apparent mismatches between the stated amplitude rule and the turnover-ratio filter, and between the stated histogram condition and its formula. The bond-name filter also does not establish a firm's overall financial condition, so the screen should be treated as a narrow hypothesis rather than a validated strategy.

Key ideas

• The proposed screen combines price amplitude, a shortening negative MACD histogram, and convertible bond information.
• The MACD condition uses 15-minute observations to seek a possible change in momentum.
• The document recommends adding fundamental measures and market context to the screening process.
• No backtest is reported, and the example implementation does not consistently match the stated screening rules.

Tags

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