Screening Chinese Stocks by Turnover, Consecutive Down Closes, and MACD
Summary
The article proposes a Chinese equity screening rule combining a daily turnover range of 3% to 12%, seven consecutive sessions in which the close is no higher than the prior close, and a MACD value below zero from two days earlier. It supplies example screening logic and Python code using grouped price data and a technical-analysis library. The author frames the conditions as a way to identify short-term candidates after a persistent decline.
No backtest results or evidence of profitability are provided. The article acknowledges that the screen omits fundamentals, capital flows, and broader market conditions, and that its MACD condition is simplified. It suggests adding other indicators and fundamental or sector-leadership filters, but does not evaluate those additions. The code’s exact behavior depends on the data fields, indicator implementation, and interpretation of the consecutive-close condition.
Key ideas
- The screen requires turnover between 3% and 12% and seven consecutive non-rising closes.
- It also requires the MACD value from two sessions earlier to be below zero.
- The article provides example formula logic and a Python implementation using historical stock data.
- The rule has no reported backtest evidence and omits fundamental and market context.
- Additional indicators and company or sector filters are suggested but not tested.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.