Chinese Stock Screen Using Turnover, DEA Direction, and Daily MACD

Summary

The document describes a daily stock-selection screen for Chinese equities. It selects shares with turnover between 3% and 12%, a rising DEA condition, and daily MACD above zero. The accompanying rationale treats the turnover band as a way to favor active trading while avoiding extremely high turnover, and uses the indicator conditions as signs of upward direction and positive market sentiment. It gives example implementations in a charting formula and Python, and excludes stocks marked as special treatment.

The screen may miss low-volume shares with potential, according to the document. It suggests adding RSI or KDJ filters, particularly favoring lower readings, or broadening the turnover range. No backtest, benchmark, transaction-cost analysis, or evidence of profitability is supplied. The implementation details also differ somewhat in how the DEA rise is expressed, so users should verify that their platform’s indicator definitions match the intended conditions before evaluating the screen.

Key ideas

• The screen selects stocks with turnover from 3% to 12%, a rising DEA condition, and daily MACD above zero.
• Its rationale combines trading activity with indicator-based trend and sentiment filters.
• The document suggests RSI or KDJ filters and a broader turnover range as possible modifications.
• It warns that the screen may miss low-volume stocks and provides no performance testing evidence.
• Indicator definitions should be checked for consistency across platforms.

Tags

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