Stock Screening with Shrinking 15-Minute MACD Bars

Summary

This Chinese stock-screening note combines three conditions: price amplitude above 1, exclusion of stocks that hit the daily limit the previous day, and a shortening MACD histogram on a 15-minute interval. It frames the amplitude and prior limit-up filters as ways to identify volatile stocks while avoiding some potentially overheated entries, and treats a contracting negative MACD histogram as a possible sign of adjustment and a potential dip-buying setup. It includes formula and Python examples intended to express the filters.

The document warns that the conditions may be subjective, time-consuming, and prone to false signals, and that liquidity can cause results to vary across stocks. It suggests monitoring the screen and considering broader market, industry, or event data, but supplies no backtest or measured performance. The examples also leave implementation details unclear, including how the 15-minute indicator is synchronized with the daily selection and whether the amplitude threshold uses percentage units. The setup is therefore a screening concept, not validated evidence of an edge.

Key ideas

• The screen requires amplitude above 1, no prior-day limit-up, and a shortening 15-minute MACD histogram.
• The note interprets a contracting negative histogram as a possible adjustment and dip-buying opportunity.
• It identifies subjectivity, false signals, selection effort, and liquidity differences as risks.
• No backtest or measured returns are provided, and the code examples leave timing and threshold details unclear.

Tags

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