Screening Chinese Stocks by Turnover, Three Declines, and Weekly MACD

Summary

The strategy screens Chinese equities using three conditions: turnover within a stated band, three consecutive declining sessions, and weekly MACD above the zero axis. The post frames the screen as combining trading activity with price weakness and a broader trend filter. It includes example formula and Python implementations, though the code's conditions do not cleanly match the prose: parts appear to test moving-average declines or a MACD zero-line crossover rather than exactly the stated weekly conditions.

The author warns that relying on MACD and technical filters omits fundamental, policy, and other market information, and suggests combining additional indicators and broader analysis. No backtest, return series, or risk statistics are provided, so the screen is a proposed selection rule rather than an evidenced profitable strategy. The code also references specific historical data dates and platform-specific functions, which limits portability and may require careful validation before use.

Key ideas

• The proposed screen combines a turnover range, three declining sessions, and weekly MACD above zero.
• The post presents example implementations in a stock-screening formula and Python.
• The sample code may diverge from the stated conditions, so its logic should be checked before use.
• The author identifies dependence on a single technical indicator and omission of fundamentals and policy as risks.
• No backtest or performance evidence is reported.

Tags

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