A-Share Screening with Positive MACD, Rising Averages, and Turnover

Summary

This note describes an A-share stock screen combining MACD above zero, upward divergence among moving averages, and prior-day trading value above a stated threshold. It presents these conditions as signs of an upward market state, a rising trend, and sufficient investor activity. The accompanying indicator examples show MACD components and a five-day moving average, while the Python example filters on a positive MACD difference and a rising five-day average alongside a trading-amount condition.

The note provides no backtest, performance data, or rules for portfolio construction and exits. Its code example does not implement the stated moving-average divergence condition directly, and its turnover threshold is not clearly aligned with the text's units. It also warns that a turnover-only liquidity filter may favor large-cap stocks and create periodic selection bias. Suggested additions include other technical and fundamental measures, but no evidence is offered that these would improve results.

Key ideas

• The screen seeks stocks with MACD above zero and upward-moving averages.
• It adds a prior-day trading-value filter to focus on more actively traded names.
• The code example uses a rising five-day average, which does not fully specify upward divergence among averages.
• The note cautions that a turnover threshold can bias selection toward larger stocks and particular periods.
• No backtest or evidence of returns is provided.

Tags

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