A-Share Screen Combining Positive MACD, Price, and Prior Turnover

Summary

This document outlines a daily, pre-open A-share screen requiring MACD above zero, a share price below 12, and prior-session actual turnover between 3% and 28%. It presents the positive MACD reading as a trend filter and turnover as a measure of trading activity. The document also includes indicator and data-processing examples, but provides no backtest, candidate list, or performance results. Its sample code calculates a ratio between successive turnover observations, which does not directly match the stated absolute turnover range, so the implementation would need review.

The author identifies several limits: the screen omits fundamentals, leans heavily on MACD, and uses a prior-day turnover observation that may vary with market conditions. Proposed adjustments include adding valuation measures and other indicators, making the price ceiling adaptive, and replacing absolute turnover with relative turnover. These ideas are not accompanied by empirical validation, and the document does not establish that the changes improve results.

Key ideas

• The stated screen uses MACD above zero, a price below 12, and prior actual turnover from 3% to 28%.
• It is intended to run before the market opens each trading day.
• The document offers no performance evidence or backtest results.
• The sample code’s turnover-ratio test differs from the stated absolute turnover band.
• Suggested refinements include adding fundamentals, other indicators, and relative turnover.

Tags

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