Screening Chinese A-Shares by Turnover and Negative MACD

Summary

This note describes a Chinese A-share screen that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires MACD to have been below zero two days earlier. It presents the filters as a way to combine trading activity with a technical indicator, but provides no backtest, performance results, or evidence that the conditions predict returns.

The accompanying example outlines retrieving stock and daily price data, calculating MACD, and applying the filters. The article warns that this technical screen omits company fundamentals and that narrow conditions may leave too few candidates. It suggests adding valuation measures such as price-to-earnings or price-to-book ratios and reconsidering the turnover range. The code has apparent data and implementation gaps, so the described logic should be treated as a screening concept rather than a validated or ready-to-run strategy.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A-shares.
• It selects stocks whose MACD was below zero two days before the screening date.
• The article offers no performance evidence for the proposed filters.
• It cautions that technical criteria omit fundamentals and may produce too few candidates.
• It suggests combining the screen with valuation or other market measures.

Tags

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