Equity Screening with Turnover, MACD-Style Momentum, and Price Filters

Summary

This note describes a Chinese equity screen that combines a turnover band of 3% to 12%, a rising DEA condition, and a prior-day closing price of 18.5 yuan. It provides a platform formula and a Python-oriented example, both intended to identify stocks meeting the combined filters. The DEA condition is represented with moving averages and their difference, linking the screen to a MACD-style momentum signal.

The article warns that turnover, a technical indicator, and price alone omit company fundamentals and industry context, so selected stocks may be unsuitable or inaccurate choices. It recommends adding fundamental and sector information and adapting parameters to market conditions. No backtest results or evidence of profitability are presented; the exact-price rule may also sharply constrain selections and depends on the specified observation timing.

Key ideas

• The screen requires turnover between 3% and 12%.
• It combines the turnover filter with a rising DEA or MACD-style condition.
• The stated price condition checks for a prior close of 18.5 yuan.
• Fundamentals and industry context are omitted, and the note provides no performance evidence.

Tags

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