A Chinese Equity Screen Combining Range, Turnover, and MACD

Summary

This post describes a daily stock screen that combines three conditions: a price range threshold, prior-day turnover within a specified band, and a positive daily MACD value. The stated rationale is to combine price movement and trading activity with a trend indicator, seeking shares that are both active and showing upward momentum. The post includes example implementations for two trading environments, but it does not report portfolio returns, a backtest, or evidence that the screen predicts subsequent gains.

The author cautions that unstable market conditions can make range-based selection noisy and that MACD’s reliability needs further evaluation. Suggested refinements include combining the screen with indicators such as KDJ or RSI and diversifying holdings. The written criteria describe prior-day actual turnover, while the sample formulas appear to calculate volume ratios; this leaves an important implementation detail unclear. As presented, the screen is a candidate-selection rule, not a complete strategy: it does not specify position sizing, exit rules, execution assumptions, or measured risk-adjusted performance.

Key ideas

• The screen selects equities using a price-range condition, a bounded prior-day turnover measure, and positive daily MACD.
• Its rationale combines activity and volatility with a trend-following indicator.
• The post provides example formulas but no backtest results or performance evidence.
• The author suggests adding other technical indicators and diversifying, while noting that MACD reliability needs evaluation.
• The prose and sample formulas may define turnover differently, so the intended measure requires clarification.

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