A Chinese Stock Screen Using Turnover, Top-Trader Lists, and MACD

Summary

This Chinese equity screening idea combines three conditions: a turnover rate between 3% and 12%, appearance on the previous day’s top-trader activity list, and a 15-minute MACD histogram that is contracting. The screen is intended to identify actively traded stocks with recent prominent trading activity, then use a short-term technical signal for timing. The document provides formula and Python examples that implement the turnover bounds, list flag, and MACD comparison, though its prose and formula description differ slightly about whether the histogram is shortening or changing sign.

The post offers no performance data, backtest, transaction-cost analysis, or precise definition of the top-trader list field. It warns that reliance on technical indicators can encourage short-term chasing and omits company fundamentals and long-term value. It suggests adding other indicators or fundamental inputs, but does not demonstrate that these changes improve results. The conditions should therefore be treated as a screening recipe, not a validated trading strategy; data definitions, signal timing, and execution assumptions would need to be checked before evaluation.

Key ideas

• The screen requires turnover between 3% and 12% and a previous-day top-trader list flag.
• A 15-minute MACD histogram contraction is used as the short-term timing condition.
• The post provides formula and Python examples, but its verbal description of the MACD rule is not fully consistent.
• No backtest or evidence of profitability is supplied, and fundamentals and long-term value are omitted.
• Any evaluation would need clear field definitions and realistic timing and execution assumptions.

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