A-Share Screening with Turnover, Recent Limit-Ups, and MACD

Summary

This document describes a Chinese A-share screening rule combining daily turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and MACD above its zero line. The rationale is to select actively traded stocks with recent price strength and positive momentum, with the expectation that an existing advance may continue. It also suggests considering company financial reports, industry conditions, and policy changes alongside the technical filters.

The post gives reference indicator logic and sample Python-style implementation details, but it provides no backtest, performance statistics, or evidence that the screen predicts future returns. Its explanation is therefore a hypothesis rather than a demonstrated edge. It also notes that technical screening may overlook company fundamentals and increase selection risk; the code's data fields and implementation would need validation before use.

Key ideas

• The screen requires turnover between 3% and 12% and at least one limit-up event during the prior 25 days.
• It also selects stocks with MACD above zero as a positive-momentum condition.
• The author interprets recent limit-ups and positive MACD as signs of possible continued strength.
• The post recommends adding fundamental, industry, and policy analysis to the technical filters.
• No performance testing or evidence of predictive returns is presented.

Tags

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