Chinese Stock Screening with Turnover, Float Value, and MACD

Summary

This note describes a Chinese equity screening rule using turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and MACD at or above zero. The criteria combine trading activity, company size, and a positive momentum indicator. It includes a formula and a Python-style example for applying the filters to the latest observations.

The author warns that the screen does not account for fundamentals, capital flows, or broader market conditions, and that MACD cannot predict a stock’s future rise by itself. Suggested extensions include moving averages, RSI, and fundamental analysis, alongside periodic review of market conditions. No backtest results or performance evidence are provided. The notes around MACD’s interpretation and implementation also imply that indicator definitions and data fields should be checked before relying on the rule.

Key ideas

• The screen selects stocks using turnover, circulating market value, and MACD at or above zero.
• The size and turnover filters restrict the candidate universe by trading activity and float value.
• The screen’s technical conditions do not account for fundamentals or market-wide risks.
• The sample formula and code require validation against the chosen data source and MACD definition.
• No evidence is given that the criteria produce profitable or reliable selections.

Tags

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