Combining Turnover, Market Value, Profitability, and MACD for A-Share Screening

Summary

This note outlines a Chinese A-share screen combining daily turnover between 3% and 12%, market value below 10 billion, positive profitability, and MACD above its zero axis. The intended approach pairs liquidity and company-size constraints with a basic profitability filter, then uses MACD as a technical trend condition. The document includes an indicator formula and sample data-fetching code, although its code does not clearly implement every stated condition consistently.

No backtest or performance evidence is presented, so the suggestion that the screen entails lower risk is unsupported by results in the document. It specifically notes that MACD can lag and produce misleading signals, and recommends evaluating the indicator alongside company fundamentals and market conditions. The screen is a set of candidate-selection criteria, not a demonstrated risk-control method or complete trading plan; data definitions, signal timing, and implementation would need review before research or use.

Key ideas

• The proposed criteria combine turnover, a market-value ceiling, positive profitability, and MACD above zero.
• The note presents MACD as a technical filter alongside size and company measures.
• It cautions that MACD is lagging and may give misleading signals.
• The document reports no backtest and its sample code does not clearly match every stated filter.

Tags

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