Stock Screening with Intraday MACD and Turnover Filters

Summary

This post presents a Chinese stock-selection screen combining a shortening MACD histogram on a 15-minute interval, prior-day turnover between 3% and 28%, and a measure of same-day position increases. It interprets the turnover band as a liquidity filter and the shrinking negative histogram as a possible sign of improving short-term momentum. It also suggests adding a positive MACD DIF condition and adjusting thresholds or adding indicators.

The post provides a rationale and sample Python intended to calculate the filters, but it does not report a backtest or performance evidence. The explanation is internally inconsistent: it describes a position-increase threshold above 5% in one place and above 50% elsewhere, while the sample calculation and filtering logic do not clearly implement the stated histogram, DIF, and upper turnover conditions. The proposal should therefore be treated as an informal screening idea rather than a validated trading strategy.

Key ideas

• The screen combines intraday MACD behavior, prior-day turnover, and a same-day position-increase measure.
• The post treats a contracting negative MACD histogram as a possible short-term improvement signal.
• It proposes a turnover range of 3% to 28% and a positive DIF filter in its refined version.
• The stated thresholds and sample implementation are inconsistent, and no performance results are supplied.

Tags

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