A-Share Screening with Turnover, 10-Day Return, and MACD

Summary

This document presents an A-share stock screen combining turnover, recent price performance, and MACD. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and MACD at or above its zero line. The stated rationale is to combine market activity with a positive trend filter.

The text offers no backtest results or measured performance. It notes that MACD is based on historical prices and can lag rapid price moves, and that technical indicators do not capture company news or all market influences. It suggests further indicator analysis and periodic risk review, but the supplied Python example has apparent implementation inconsistencies, so it should not be treated as a verified reproduction of the written screening rules.

Key ideas

• The screen combines turnover between 3% and 12%, a positive 10-day return below 35%, and MACD at or above zero.
• Turnover is used as a measure of trading activity, while the return and MACD conditions act as trend filters.
• The document warns that MACD can lag and does not account for news or every market influence.
• No empirical performance results are provided, and the code example may not faithfully implement the stated rules.

Tags

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