Shenzhen Stocks Screened by Volatility, MACD, and Valuation

Summary

This Chinese-language note proposes screening Shenzhen main-board stocks using three filters: price amplitude above 1, a shortening negative MACD histogram on a 15-minute chart, and price-to-earnings and price-to-book ranges of 0–29.01 and 0–3.11. The stated rationale is to combine elevated movement, a possible shift in short-term momentum, and valuation constraints. It offers indicator and Python examples for assembling the screen, though the code’s amplitude filter uses turnover ratio rather than the described high-low price amplitude, and the sample MACD data is for one ticker.

The note cautions that valuation multiples alone are too crude to capture business value and may miss company- or industry-specific factors. It suggests incorporating market conditions, fundamentals, industry themes, policy developments, and growth measures. No historical test, benchmark, or return evidence is provided, so the screen’s predictive value is unestablished; the MACD pattern is a candidate signal, not confirmation that a price reversal will occur.

Key ideas

• The proposed screen combines price amplitude, a contracting negative 15-minute MACD histogram, and valuation ranges.
• The note interprets the MACD condition as a possible sign of changing price direction, not a confirmed reversal.
• Its example code uses turnover ratio as the amplitude filter, which differs from the written high-low condition.
• The valuation filters may overlook company and industry factors, so the note recommends adding broader fundamental and market context.
• No backtest or performance evidence is reported.

Tags

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