A-Share Momentum Screen Using Positive MACD, Turnover, and Stock Heat
Summary
This post presents a daily, end-of-session A-share selection rule: retain stocks with MACD above zero and turnover between 3% and 12%, then rank them by market heat. It describes positive MACD as a trend filter and heat as a way to identify stocks attracting attention; the turnover band is intended to avoid illiquid names and some extreme trading conditions. The article includes the standard MACD calculation, a screening expression, and example Python logic that sorts qualifying names by heat.
The post provides no backtest, return, or risk statistics, so it does not establish whether the screen has an edge. It cautions that popular stocks may be vulnerable to speculation, fixed turnover thresholds may need adjustment, and technical conditions can miss fundamentals or broader market shifts. Suggested extensions include adding other technical signals, varying turnover limits by market context, considering multiple ranking factors, and incorporating industry or financial information.
Key ideas
- The daily screen requires MACD above zero and turnover between 3% and 12%.\nQualifying stocks are ranked from highest to lowest by market heat.\nThe article provides indicator and sample screening logic but no evidence of historical performance.\nIt warns that high-attention stocks may carry speculation risk and that technical filters omit fundamental context.\nPotential extensions include context-sensitive thresholds and additional ranking or fundamental factors.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.