A-Share Screen Using Turnover, Market Value, Profitability, and MACD

Summary

This proposed A-share stock screen combines market activity, company size, profitability, and a technical indicator. It selects stocks with turnover between 3% and 12%, market value below 10 billion yuan, and positive net income, then checks whether the MACD value from two trading days earlier is below zero. The post also provides example screening logic and Python-style implementation material, but no backtest or live-trading evidence.

The author cautions that technical indicators can be applied blindly and that changing market conditions and fundamentals may affect the screen. Suggested improvements include checking other technical or fundamental measures, considering trends across different horizons, and adding risk monitoring. The rules are presented as a starting point for research, not as a validated strategy. The post does not specify portfolio construction, trade timing beyond the filter, position sizing, transaction costs, or performance across market regimes.

Key ideas

• The screen requires turnover between 3% and 12% and market value below 10 billion yuan.
• It excludes loss-making companies and selects using a negative MACD reading from two days earlier.
• The post recommends validating the rules with additional technical and fundamental analysis.
• No backtest results or evidence of live profitability are provided.

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