Screening Chinese Stocks with MACD, Price, and Turnover Filters

Summary

This Chinese-language post describes a daily pre-market stock screen combining three conditions: MACD above its zero line, share price below 12, and turnover between 3% and 12%. It gives formula references for MACD and turnover and an illustrative Python filtering example using daily stock data. The intended logic combines a positive trend-related signal with a low nominal price and a bounded activity measure.

The post warns that the screen uses few indicators and that turnover data may be uncertain, suggesting that additional liquidity measures and periodic review could improve it. It offers no backtest, benchmark, universe definition, transaction-cost analysis, or evidence that the filters produce stable returns. The example also does not fully document implementation choices, so its calculations and data fields would need verification before use.

Key ideas

• The screen selects stocks with MACD above zero, a price below 12, and turnover between 3% and 12%.
• It is intended to run before each trading day’s open.
• The post provides formula references and an illustrative daily-data filtering example.
• The author notes that the few selection criteria and uncertain turnover data limit the screen.
• No performance test or transaction-cost analysis is provided.

Tags

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