Screening Chinese Stocks by Turnover, Listing Year, and MACD

Summary

This document describes a Chinese stock screen that selects shares with turnover between 3% and 12%, a listing year of 2021, and a MACD value below zero two trading days earlier. It presents the conditions as a way to combine a liquidity filter with a technical indicator, and includes example formula and Python implementations.

The article warns that MACD is short-term and can overemphasize recent price swings. Restricting the universe by listing year may exclude older stocks, and technical signals alone do not establish a company’s investment value. It suggests adding fundamental measures such as valuation ratios and combining multiple technical indicators. No performance results or backtest evidence are provided, so the screen’s predictive value is not demonstrated.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• It checks whether MACD was below zero two trading days earlier.
• The article cautions that short-term technical signals can overemphasize price fluctuations.
• It recommends adding fundamental analysis and other indicators.
• The document gives implementation examples but reports no strategy performance.

Tags

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