Screening Chinese Stocks with Intraday MACD Contraction and Limit-Up Signals

Summary

The document proposes a short-term Chinese equity screen combining an amplitude threshold, a 15-minute MACD histogram that is negative but contracting, exclusion of special-treatment stocks, an early-morning selection time, and a limit-up pattern referred to as a five-step method. Its rationale is to find volatile shares whose downside momentum may be easing while attention and capital activity are high.

It provides indicator formulas and a Python sketch using market data and technical indicators to illustrate filtering. The materials do not report a backtest or performance evidence, and some implementation details appear inconsistent with the stated conditions, including the use of turnover ratio as a proxy for amplitude. The document itself flags reliance on short-term flows and neglect of fundamentals as risks; it suggests adding company, industry, and macroeconomic analysis, but does not test those changes.

Key ideas

• The screen combines volatility, a contracting negative 15-minute MACD histogram, non-ST status, and a limit-up pattern.
• Selection is intended to happen before the stated morning cutoff.
• The provided formulas and code are examples, and the code may not faithfully implement every stated criterion.
• No empirical performance results are presented, while the document warns about flow dependence and short-term focus.

Tags

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