Screening Chinese Stocks with Range, MACD, and Turnover Filters
Summary
The document proposes screening Chinese stocks using three conditions: price amplitude above 1, MACD above the zero line, and turnover between 2% and 9%. It presents amplitude as a volatility filter, MACD as a positive-trend signal, and the turnover band as a way to balance liquidity with price stability. The suggested final screen may also include other technical and fundamental measures.
The article provides indicator formulas and sample code as implementation references, but does not report a backtest, performance statistics, or evidence that the combined filters improve returns. Its turnover code appears to calculate relative volume change rather than the stated turnover rate, so the example may not implement the described condition. The author also notes that turnover extremes can affect price stability and that suitable thresholds may vary with market conditions and industry; the screen alone omits broader market and company analysis.
Key ideas
- The proposed screen combines amplitude above 1, MACD above zero, and turnover between 2% and 9%.\nAmplitude is used to select stocks with larger price movement, while positive MACD is treated as a favorable signal.\nThe turnover range is intended to balance liquidity and price stability.\nThe article recommends combining the screen with additional technical and fundamental analysis.\nNo performance evidence is provided, and the sample turnover calculation may not match the stated turnover-rate filter.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.