A Chinese Stock Screen Using Turnover, Reversal Patterns, and MACD

Summary

This document describes a Chinese equities screen combining a 3%–12% turnover rate, a “reversal wrap” pattern, and positive MACD lines. Its indicator example also requires the close to exceed a moving average and ranks candidates by the MACD difference. The accompanying Python example outlines a data workflow using daily market data, a concept list, moving averages, and MACD calculations, then filters and sorts the resulting stocks.

The rationale is to find actively traded shares with positive momentum, while the stated caveats are that a technical screen can miss longer-term value opportunities and that MACD has limitations. The author suggests adding industry and financial analysis. The sample code has apparent implementation mismatches: it calculates MACD from an index series, then compares its row indices with stock codes, and the stated turnover bounds differ between the prose and code. No performance test or evidence of profitability is provided, so the screen should be treated as an illustrative rule set rather than a validated strategy.

Key ideas

• The proposed screen requires turnover between 3% and 12%, a reversal-wrap pattern, and positive MACD readings.
• The indicator example also filters for prices above a moving average and ranks candidates by MACD difference.
• The Python sketch combines market data, concept membership, moving averages, and MACD calculations.
• The document recommends supplementing technical filters with industry and financial analysis.
• No backtest or evidence of returns is supplied, and the sample implementation appears internally inconsistent.

Tags

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