Screening Chinese Stocks with MACD Contraction and Recent Limit-Ups

Summary

This proposed Chinese equity screen combines daily price range, recent limit-up frequency, and a 15-minute MACD condition. It selects stocks with an amplitude above 1, more than two limit-up days in the prior ten days, and a shortening MACD histogram below zero. The rationale is that large swings and repeated limit-ups may indicate attention, while a contracting negative histogram may signal easing downward momentum.

The document sketches indicator formulas and a Python example using daily and intraday data, but it provides no backtest results or performance evidence. Its examples also do not align perfectly with the stated rules: the Python snippet compares the latest histogram values without explicitly checking that it is negative, and the limit-up proxy and amplitude calculation may not match the intended definitions. The author notes that fundamentals and broader market conditions are omitted, and that a shorter MACD histogram does not establish a reversal. It suggests adding fundamental, market, and price-volume checks, but does not specify how to validate or tune them.

Key ideas

• The screen combines daily amplitude above 1 with more than two limit-up sessions in ten days.
• It also looks for a contracting negative MACD histogram on a 15-minute chart.
• The document offers formula and Python sketches but reports no backtest evidence.
• Its code may not fully implement the stated conditions, so the signal definitions need verification.
• Fundamentals, market context, and additional price-volume evidence could supplement the screen.

Tags

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