Screening Stocks by Turnover, Opening Price Near Its Ten-Day Average, and MACD

Summary

This A-share screening rule looks for turnover between three and twelve percent, an opening price within five percent of the ten-day moving average, and daily MACD above zero. The article presents the turnover band as a way to avoid unusually inactive or highly active stocks, the opening-price condition as a price-location filter, and positive MACD as confirmation of an upward trend. It frames the combination as a short-term technical screen and suggests adding fundamental or financial measures as further filters.

The document supplies indicator formulas and a Python example, but it reports no backtest or evidence of profitability. It warns that MACD may fail as market conditions change and that excluding very low- or high-turnover names can omit some opportunities. The example code’s calculations and use of historical medians and turnover quantiles do not cleanly match the stated daily screening rules, so implementation should be checked before use. The conditions alone do not establish a risk-managed trading strategy.

Key ideas

• The rule screens for turnover from three to twelve percent, an open near the ten-day moving average, and daily MACD above zero.
• The conditions combine a trading-activity filter, price location, and a trend indicator.
• The turnover band may exclude potentially interesting stocks, while MACD can become unreliable as conditions change.
• The example implementation does not exactly match the stated rules, and no performance evidence is presented.

Tags

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