A-Share Screen Using Turnover and MACD Above the Zero Line

Summary

This stock selection screen combines turnover between three and twelve percent with MACD above its zero line and above its signal line. The article also says to exclude Beijing-listed A-shares, although its example formula instead checks for a Shenzhen prefix, creating a mismatch between the description and implementation. The intended approach is to find liquid stocks with positive momentum; the author suggests examining company fundamentals and macroeconomic conditions before acting.

The document identifies the risk of buying after a move has already advanced and of sharp declines during market corrections. It recommends considering market conditions and stop-loss rules alongside the screening criteria. A Python example is provided, but it uses daily data for the current date and contains apparent inconsistencies in fields and turnover units, which could affect results. No backtest, performance figures, or validation of the selection rule is reported, so the screen is best understood as a technical filtering proposal rather than a demonstrated trading strategy.

Key ideas

• The screen selects stocks with turnover between three and twelve percent and MACD above both zero and its signal line.
• The written rule excludes Beijing-listed shares, while the example formula checks for a Shenzhen market prefix.
• The author warns that momentum filters may lead to late entries and losses during market pullbacks.
• Fundamental research, market context, and stop-loss rules are suggested as additional considerations.
• No backtest or performance evidence is supplied, and the code examples contain implementation inconsistencies.

Tags

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