A-Share Screen Combining Turnover, Daily Gains, and MACD

Summary

This document describes a technical stock screen for mainland Chinese main-board shares. It selects stocks with turnover between 3% and 12%, a daily gain above 1%, and a MACD value below zero two trading days earlier. The accompanying rationale treats turnover as a measure of trading activity, the current gain as evidence of short-term strength, and the lagged MACD condition as a technical filter. It also suggests adding fundamental and financial measures, broader market or policy context, and volatility-based risk checks.

The page includes formula-style and Python examples, but their conditions are not fully consistent with the stated screen: the formula’s daily-price expression does not clearly implement a gain above 1%, and its MACD clause adds a current-positive requirement absent from the prose. The Python version likewise adds a current-positive MACD filter and limits codes to those containing a particular exchange marker. No historical test results or risk-adjusted evidence are supplied, so the selection logic should be treated as an illustrative rule requiring verification and backtesting.

Key ideas

• The stated screen combines a turnover range, a daily gain threshold, and a lagged negative MACD reading.
• The document recommends adding fundamental data and market risk measures to broaden the filter.
• The sample formula and Python code introduce extra or inconsistent conditions compared with the prose rule.
• No performance evidence is given, so the strategy requires independent verification and backtesting.

Tags

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