Screening Chinese Stocks with Intraday MACD and Position-Change Filters

Summary

This stock screen combines three conditions: price amplitude above 1, a shrinking negative MACD histogram on a 15-minute chart, and a reported position increase above 5% for the day. The stated rationale is to find shares with notable movement, improving short-term technical momentum, and an increase in market participation. The document also sketches indicator formulas and a Python example using market data and a technical analysis library.

The author cautions that the screen omits fundamental information, may select stocks after a sharp rise, and can expose traders to sudden price moves or pullbacks. Suggested refinements include adding indicators, considering broader market and fundamental conditions, and applying further risk controls. The examples do not provide backtest results, define the amplitude measure consistently across the formulas and code, or establish that the signals predict returns. The position increase proxy in the example may also differ from the condition described in the screening rule.

Key ideas

• The screen requires amplitude above 1, a contracting negative MACD histogram on a 15-minute chart, and a daily position increase above 5%.
• The proposed rationale combines price movement, short-term momentum, and increased participation.
• The document offers formula and Python examples for implementing the filters.
• The screen can select stocks vulnerable to sudden moves or pullbacks.
• No backtest evidence is provided, and the examples may not implement the stated conditions consistently.

Tags

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