A-Share Momentum Screen Using Turnover, Returns, and MACD

Summary

The document proposes screening A-shares by turnover between stated bounds, a positive but limited return over ten days, and a positive daily MACD. It frames turnover and recent price appreciation as signs of trading activity and favorable price behavior, with MACD serving as a technical confirmation. It also recommends adding fundamental measures such as profitability or valuation and adjusting the strategy as market conditions change.

The page includes a formula reference and a Python example, but it supplies no backtest results or evidence that the filters improve selection accuracy. The implementation appears inconsistent with the stated rules: the Python condition checks the latest daily percentage change rather than a ten-day return, and it obtains MACD from index data rather than clearly calculating it for each stock. The text also notes that a technically focused screen remains exposed to broad market moves. The conditions should therefore be treated as a proposed filter requiring validation, not a demonstrated strategy.

Key ideas

• The proposed screen combines turnover, positive ten-day performance, and positive daily MACD.
• The document suggests adding fundamental filters and adjusting the screen to market conditions.
• No backtest results or measured evidence of improved stock selection are reported.
• The Python example appears to use one-day percentage change and index MACD, which do not match the described stock-level rules.

Tags

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