Screening Chinese Stocks by Turnover, Profit Growth, and MACD

Summary

This document describes a stock screen for Chinese equities that combines three conditions: turnover between 3% and 12%, year-over-year growth in net profit attributable to the parent company above 20% and no more than 100%, and a positive MACD reading. The rationale is that turnover can indicate market attention, profit growth can help identify improving fundamentals, and MACD can indicate price trend. It includes example implementations for a screening platform and Python, though the code’s data fields and calculations may not match the stated logic exactly.

The article flags missing valuation measures such as price-to-earnings and price-to-book ratios, and notes that MACD may be less effective in weak markets. It suggests adding fundamental or technical filters, including a MACD signal-line crossover. No backtest results or performance evidence are provided, so the screen should be treated as a set of proposed selection rules rather than a demonstrated strategy.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt selects companies with parent-attributable net profit growth above 20% and up to 100%.\nA positive MACD reading is used as a trend filter.\nThe article suggests valuation measures and additional MACD conditions as possible refinements.\nThe document provides no performance test for the proposed screen.

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