Chinese Stock Screening with Turnover, Rising DEA, and Negative Prior MACD

Summary

This stock-selection rule screens Chinese equities for turnover between 3% and 12%, a rising DEA-related signal, and a MACD value below zero two sessions earlier. The stated rationale combines recent trading activity with an improving signal, while using the negative earlier MACD reading to capture stocks that may have been in a decline. The document supplies indicator formulas and a Python example as implementation references.

The article cautions that market conditions and sudden changes in company fundamentals can undermine the screen, and that MACD can lag. It suggests trying other indicators or adding fundamental and industry filters. It presents no backtest, performance evidence, or proof that these conditions predict a rebound; its explanation of the relationship among the signals is qualitative, and the formulas should be checked before use.

Key ideas

• The screen combines turnover in a specified range with a rising DEA-related measure and a negative MACD reading from two sessions earlier.
• The author presents the earlier negative MACD as a sign of weakness alongside a potentially improving signal.
• The article provides formula and Python examples but no backtest results.
• MACD lag and changes in market conditions or company fundamentals are listed as risks.
• Possible refinements include alternative technical indicators and fundamental filters.

Tags

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