Screening Chinese Stocks by Turnover, Profit Growth, and MACD

Summary

This note presents a Chinese equity screen combining trading activity, earnings growth, and price momentum. It selects stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and daily MACD above zero. The stated rationale is to blend fundamental and technical signals: profit growth filters for improving companies, while MACD is used to assess the direction of price movement. Formula and Python examples are included to illustrate the intended selection process.

The author warns that changing market conditions can weaken the screen and that its criteria may return very few stocks. No backtest, portfolio returns, or evidence of predictive accuracy is provided. The code also appears to add implementation choices beyond the prose, including checks on MACD components and historical profit data, so users would need to confirm that data fields, dates, and indicator definitions match the intended rules. The note suggests making thresholds responsive to conditions and considering additional indicators, while still requiring broader analysis.

Key ideas

• The screen requires turnover between 3% and 12%, specified profit growth, and positive daily MACD.
• It combines a fundamental earnings filter with a technical trend signal.
• The author notes that the conditions may produce very few eligible stocks and may not adapt to market changes.
• The document provides no backtest or return evidence, and the code's implementation details need verification.

Tags

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