A-Share Screening with Positive MACD, Stock Heat, and Turnover Limits

Summary

This post describes a daily, after-close screen for Chinese equities. It selects stocks whose MACD line is above zero, ranks candidates by individual-stock popularity, and restricts turnover to between 2% and 9%. It explains the indicators as rough proxies for trend, market attention, and trading activity, and includes example indicator and Python screening references.

The post cautions that the rules are simple and may omit important factors. Popularity and turnover data can be noisy or unstable, while the turnover band may exclude potential opportunities. It recommends checking signal reliability and stability, adding other selection factors, and considering company fundamentals. No historical backtest, performance figures, or evidence that the screen improves returns is provided; the examples are implementation references rather than validated strategy results.

Key ideas

• The screen selects stocks with a MACD line above zero and turnover between 2% and 9%.
• Candidates are ranked by stock popularity, with selection performed after the daily close.
• The post treats MACD, popularity, and turnover as trend, attention, and activity filters.
• The author flags noisy data, omitted factors, and missed opportunities from the turnover bounds.
• The document provides no backtest or performance evidence for the screening rules.

Tags

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