Shenzhen Main-Board Value Screen with a 15-Minute MACD Signal

Summary

This note presents a Shenzhen main-board stock screen that combines valuation, price range, and intraday momentum conditions. It selects stocks with price-to-earnings ratios from zero to 29.01 and price-to-book ratios from zero to 3.11, then looks for a shortening MACD histogram on a 15-minute chart. The stated rationale is that the valuation filters constrain the candidate set while a shrinking negative histogram may indicate weakening downside momentum. The article also specifies an amplitude filter, though its prose and sample code use differing thresholds.

The document supplies indicator logic and illustrative code, but no backtest, performance figures, or evidence that the thresholds are effective. It cautions that technical indicators can lag and that the screen omits broader fundamentals and macroeconomic conditions. It suggests combining additional indicators and financial or industry analysis. Its code uses daily historical data in places despite describing a 15-minute signal, so the implementation does not clearly reproduce the stated strategy.

Key ideas

• The screen applies price-to-earnings and price-to-book ranges to Shenzhen-listed main-board stocks.
• It uses a 15-minute MACD histogram contraction as a possible sign of weakening downside momentum.
• An amplitude condition is included, but its threshold is inconsistent between the description and sample code.
• The article provides no measured results and notes lagging indicators and omitted fundamental and macroeconomic factors.
• The sample code does not clearly implement the stated 15-minute signal.

Tags

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