A-Share Screening with Turnover, Ten-Day Returns, and MACD

Summary

This note describes a simple A-share stock screen combining turnover, recent price performance, and MACD. It selects stocks with turnover between 3% and 12%, a positive return below 35% over ten days, and a MACD value below zero two days earlier. The intended approach uses recent gains and a technical indicator to identify candidates, with example implementations discussed for stock screening.

The note cautions that this momentum-oriented technical screen may omit company fundamentals and that indicators can lag. It suggests adding other technical indicators and managing risk, but gives no backtest methodology, performance evidence, or rules for portfolio construction and exits. The sample code also appears inconsistent with the stated screen: it tests different MACD dates and uses a single index series for the indicator check. Treat the described criteria as an idea to validate, rather than as a verified, ready-to-run strategy.

Key ideas

• The screen combines turnover between 3% and 12% with a positive ten-day return below 35%.
• It additionally requires the MACD reading from two days earlier to be below zero.
• The approach uses recent price performance and technical analysis to select A-share candidates.
• The note warns that technical indicators lag and the screen may overlook fundamentals.
• The example code does not fully match the stated screening logic and should be checked.

Tags

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