Screening Chinese Stocks with Limit-Order Flow and 15-Minute MACD

Summary

This short-term stock screen combines price amplitude, trading activity, and a momentum indicator. It looks for stocks with amplitude above 1 that appeared on the prior day’s trading leaderboard, where reported buying exceeded selling, and whose 15-minute MACD negative histogram bars are getting shorter. The article presents that pattern as a possible sign of improving short-term price momentum after notable capital flows.

Formula and Python examples outline the proposed filters and rank selected names by turnover. The article offers no backtest or performance evidence, so the signal’s predictive value is unestablished. It cautions that short-term strategies can be highly exposed to market swings and that MACD may overlook other technical and fundamental information. It suggests adjusting the amplitude threshold and incorporating other indicators, company fundamentals, and valuation measures, but does not specify or evaluate those additions.

Key ideas

• The screen combines amplitude above 1 with prior-day leaderboard presence and net buying.
• It uses shortening negative MACD bars on a 15-minute chart as a potential momentum improvement signal.
• The examples rank selected stocks by turnover after applying the filters.
• The article provides no performance test and flags short-term volatility and indicator limitations.

Tags

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