Screening Chinese Main-Board Stocks with Turnover, Size, and Weekly MACD

Summary

The document describes a Chinese A-share screening rule for main-board stocks. It selects shares with turnover between 3% and 12%, a circulating market value between 5 billion and 10 billion yuan, and weekly MACD above zero. It explains that the screen combines liquidity and size constraints with a trend-related technical indicator, and includes examples of how the conditions could be expressed in a stock filter.

The article cautions that a positive weekly MACD alone does not establish a sustained advance, and that a technical-only screen omits company fundamentals and market themes. It suggests combining technical signals with fundamental measures and other trend or volume checks, but the final rule remains the original three-part screen. No backtest results, sample period, portfolio construction method, or transaction-cost analysis is provided, so the screen’s predictive value and investability are not established by the document.

Key ideas

• The screen requires turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan.
• Eligible stocks must be from the main board and have weekly MACD above zero.
• The rule combines liquidity and size filters with a technical trend condition.
• A positive weekly MACD may not indicate a durable uptrend.
• The document provides no backtest evidence or evaluation of trading costs.

Tags

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