A-Share Screen Using Turnover, the 10-Day Average, and MACD

Summary

This document describes a short-term A-share stock screen. It selects stocks with turnover between 3% and 12%, an opening price near the 10-day moving average, a latest close at or above that average, and a MACD reading below zero from two sessions earlier. The suggested rationale is to avoid inactive stocks while looking for a possible rebound after weakness. It also offers formula and Python examples as implementation references.

The document provides no backtest, performance figures, or evidence that the filters predict rebounds. It cautions that the screen focuses on short-term price behavior and omits fundamentals, and suggests adding longer-term financial measures, other indicators, and diversification. The code examples may not fully match the stated daily screening rules: for example, the Python snippet uses historical medians and quantiles. Results should therefore be treated as candidates for further research, with definitions and timing checked before use.

Key ideas

• The screen combines a turnover range with an opening price near the 10-day average.
• It requires the latest close to be at least the 10-day average and an earlier MACD value below zero.
• The stated rationale is to find active stocks with a possible rebound setup.
• The document gives no performance test and flags the lack of fundamental analysis.
• Its code examples may differ from the stated screening conditions.

Tags

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