Screening A-Shares by Turnover, Shanghai Listing, and Lagged MACD

Summary

This article outlines a stock screen for shares with turnover between 3% and 12%, codes beginning with 60, and a MACD value below zero two trading days earlier. The stated rationale is to combine a moderate activity filter with a lagged technical indicator and a restriction to a particular group of Chinese listings. It includes formula and Python examples, though the example code introduces additional data checks and does not transparently implement every stated condition in the same way.

The article provides no backtest or performance evidence. It notes that the screen omits substantial fundamental and industry analysis, and could select stocks whose activity reflects speculation. It also points to market, policy, and macroeconomic risks. Suggested extensions include company classification, industry position, revenue and profit growth, and explicit risk controls. The described filters are therefore a basic screening recipe, not a demonstrated trading strategy or complete risk framework.

Key ideas

• The stated screen uses 3%–12% turnover, a 60-prefixed stock code, and a MACD value below zero from two days earlier.
• The article frames turnover as an activity measure and MACD as a timing input.
• It cautions that the criteria omit fundamental, industry, and market risk considerations.
• It recommends adding company and sector analysis alongside risk controls.

Tags

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