A Stock Screen Using Turnover, the Ten-Day Average, and Weekly MACD

Summary

The document describes a Chinese-equity screening rule combining trading activity with price and trend conditions. It selects stocks with turnover between 3% and 12%, an opening price within roughly 5% above or below the ten-day moving average of closing prices, and a weekly MACD value above zero. It includes example expressions for implementing the conditions in a stock screening platform and in a Python data workflow; the Python example uses a shifted MACD reading.

The article characterizes the rule as combining short-term price positioning with a longer-horizon trend signal. It cautions that the screen may miss stocks with attractive longer-term prospects but short-term price fluctuations, and that delayed weekly MACD data can distort selections. It suggests adding other technical or fundamental filters and using more timely data. The document supplies no backtest results, evidence of predictive performance, or portfolio and execution rules, so the screen should be treated as a selection heuristic rather than a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and an opening price near the ten-day closing-price average.
• It also requires weekly MACD to be above zero, using a prior reading in the provided examples.
• The rule combines a turnover filter with price positioning and a longer-horizon momentum signal.
• Delayed weekly data may cause selection errors, and the screen may exclude stocks with temporary price fluctuations.
• The document offers no performance evidence or rules for portfolio construction and trading.

Tags

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