Screening Chinese Stocks by Turnover, Listing Year, and Daily MACD

Summary

This stock screen selects companies with turnover between 3% and 12%, a listing year of 2021, and daily MACD above zero. The document describes it as a technical and liquidity based filter and provides example formulas and Python code intended to identify matching stocks. It does not provide a portfolio construction method, entry and exit rules, or performance results for this screen.

The author cautions that MACD may fail in some market conditions and that the filter could exclude stocks with weak recent performance but longer term potential. Suggested refinements include adding other indicators, such as RSI or KDJ, and adjusting the criteria to market conditions. The supplied code and formula examples are implementation references rather than evidence of predictive value; the document gives no backtest or live trading results for this particular screen. Its fixed listing year also makes the universe time dependent and potentially narrow.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• It selects stocks whose daily MACD is above zero.
• The document combines liquidity and a technical indicator but gives no performance evidence for this screen.
• The author notes that MACD can fail and that the filter may omit stocks with recovery potential.
• Adding other indicators or adapting criteria to market conditions is suggested.

Tags

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