Screening Shanghai-Listed Stocks by Turnover and Positive MACD

Summary

This article presents a stock-selection screen for Chinese equities whose codes begin with 60. It further requires turnover to fall within a stated 3% to 12% band and MACD to be above zero. The post provides example query and Python-based references for retrieving a stock list and checking turnover and indicator values, though the code is not necessary to understand the selection rules.

The author frames turnover as a liquidity filter and MACD as a trend signal, while noting that company fundamentals and macroeconomic conditions can affect prices and that MACD alone may not capture market behavior. The article suggests adding fundamental measures and other indicators, but gives no backtest, portfolio construction rules, transaction-cost analysis, or performance evidence. Its example query uses a specific trade date, and the code’s indicator and turnover calculations should be checked against the intended definitions before use.

Key ideas

• The screen selects stocks with codes beginning with 60 and turnover between 3% and 12%.
• It requires MACD to be positive as a technical filter.
• The post provides query and data-retrieval examples for identifying candidates.
• The article offers no evidence that the screen produces positive risk-adjusted returns.
• It recommends considering fundamentals and additional indicators alongside the stated filters.

Tags

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