Screening Chinese Stocks with Intraday MACD and Amplitude

Summary

This Chinese stock screen combines three filters: price amplitude above a stated threshold, a shrinking negative MACD histogram on a 15-minute chart, and exclusion of stocks that hit the daily upper price limit the previous day. The proposed rationale is to find relatively volatile stocks whose short-term momentum may be changing, while avoiding names that may be especially vulnerable to near-term speculation.

The document offers example indicator expressions and a Python-style screening outline, but no backtest results or evidence that the rules predict returns. It cautions that technical and sentiment signals can overlook company fundamentals, and that excluding prior limit-up stocks may remove names with continuing momentum. It suggests adding indicators such as KDJ or RSI and reviewing why a stock reached its limit. The examples also leave implementation details unclear, including how daily amplitude and the prior limit-up condition should be aligned with the intraday signal, so the screen would need careful validation before use.

Key ideas

• The screen requires substantial price amplitude and a contracting negative MACD histogram on a 15-minute chart.
• It excludes stocks that reached the daily upper price limit on the prior day.
• The proposed rationale is to find volatile stocks with potentially changing short-term momentum.
• The document provides example logic but reports no backtest or return evidence.
• Technical filters can miss fundamental drivers and may exclude stocks with persistent gains.

Tags

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