Screening Chinese Stocks with Range, MACD, and Turnover Filters

Summary

The document proposes an A-share stock screen combining three conditions: daily amplitude above one, a shrinking negative MACD histogram on a fifteen-minute chart, and turnover between three and twelve percent. The intended idea is to find shares with noticeable price movement, a potentially improving short-term momentum signal, and moderate trading activity. It gives illustrative indicator formulas and a Python outline for combining market data with MACD values and turnover filters.

The source itself flags important limitations: it omits fundamental information and broader market conditions, MACD can lag, and the screen may select small-cap, low-float, or newly listed shares with elevated risk. It suggests adding other indicators and further risk screening. The provided implementation also appears to use a turnover field for its amplitude filter, which may not match the stated condition, and its indicator formula should be checked against the intended MACD histogram definition. No backtest, selection results, or evidence of predictive performance is reported.

Key ideas

• The screen combines an amplitude threshold, a contracting negative MACD reading on a fifteen-minute chart, and a turnover range.
• The shrinking negative MACD condition is intended to identify improving short-term momentum.
• The document provides example formulas and a data-processing outline rather than a tested strategy.
• The approach omits fundamentals and market context, and lagging indicators may produce delayed signals.
• Small or newly listed companies may pass the screen despite having higher risk.

Tags

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