Chinese Stock Screen Using Turnover, Bid Volume, and Weekly MACD

Summary

This Chinese-language strategy note proposes screening mainland Chinese stocks using three conditions: turnover between 3% and 12%, first-level bid volume greater than ask volume, and weekly MACD above zero with DIF above DEA. It narrows the candidates to listed, non-special-treatment stocks and selects up to 50 names. The article provides example query logic and a Python outline that combines market depth, weekly indicators, and daily turnover data.

The approach mixes a liquidity or activity filter, an order-book imbalance observation, and a weekly trend condition. The document offers no backtest, trade rules for entries and exits, portfolio sizing, or performance statistics, so the screen alone does not establish profitability. It also acknowledges that fundamentals and market sentiment are omitted, and notes that the order-book reading and indicator conditions may leave blind spots. Some sample snippets use particular dates and market universes, so implementations would need data and universe checks before use.

Key ideas

• The screen requires turnover between 3% and 12% and bid volume above ask volume.
• It filters for weekly MACD above zero with DIF higher than DEA.
• The proposed output is capped at 50 stocks after market eligibility filters.
• The note supplies example query and Python approaches but no backtest or performance evidence.
• The strategy omits fundamentals, sentiment, and explicit portfolio or exit rules.

Tags

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