Screening Chinese Stocks with Intraday MACD and Recent Returns

Summary

The screening idea combines three conditions: price amplitude greater than 1, a shortening negative MACD histogram on a 15-minute chart, and a positive 10-day return below 35%. The document interprets the amplitude filter as seeking more volatile shares, the MACD condition as a possible early change in direction, and the return band as excluding stocks with weak or unusually strong recent gains. It also sketches indicator formulas and a Python example using historical Chinese stock data.

The author warns that a small set of signals can concentrate picks in a few sectors, exposing the screen to weak sector performance and unusual volatility. Suggested additions include turnover, valuation measures, and other technical indicators. The examples are screening references, not a complete trading system: they provide no entry or exit rules, portfolio sizing, transaction-cost treatment, or performance results. The code checks whether conditions occurred at any point in the sampled data, which does not establish that all conditions align at a tradable time. The stated thresholds and indicator settings therefore need careful validation before use.

Key ideas

• The screen combines amplitude, a shortening negative 15-minute MACD histogram, and a bounded positive 10-day return.
• The conditions are intended to find volatile stocks with possible early trend changes and moderate recent gains.
• The author identifies sector concentration and adverse sector moves as risks.
• Fundamental and additional technical measures are suggested as ways to broaden the assessment.
• The examples do not establish aligned live signals or demonstrate backtested profitability.

Tags

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