Screening Chinese A-Shares by Turnover, Size, Profitability, and MACD

Summary

The screen selects listed Chinese A-shares with turnover between 3% and 12%, market capitalization below 10 billion yuan, positive income, and a positive daily MACD reading. The accompanying explanation interprets turnover as a filter for market activity, the size cap as a small-company constraint, positive income as a basic profitability check, and positive MACD as a sign of upward price momentum. It also provides example formula and Python approaches, though the implementation details and data periods are not fully aligned across them.

The post warns that MACD is only one technical indicator and that the screen does not adequately assess other aspects of company fundamentals. It suggests combining additional technical and fundamental measures, but supplies no performance data or evidence that those additions improve returns. The rules are therefore best understood as a screening recipe rather than a validated trading strategy; the reported selection criteria do not specify portfolio construction, trading costs, or how often to rebalance.

Key ideas

• The proposed screen combines a 3%–12% turnover range, a market-cap limit below 10 billion yuan, positive income, and positive daily MACD.
• The post treats positive MACD as a momentum filter and the other conditions as activity, size, and profitability screens.
• The example implementations use different data sources and periods, so their outputs may not be directly comparable.
• The author cautions that MACD alone is insufficient and that the screen omits broader fundamental analysis.
• No backtest or portfolio-level performance evidence is provided.

Tags

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