Screening Stocks by Turnover, Three Down Days, and MACD Histogram

Summary

This Chinese equities screening method selects stocks with turnover between three and twelve percent, three consecutive declining sessions, and a negative MACD histogram reading from two sessions earlier. The note presents turnover as a way to exclude shares it considers unusually active or weakly traded, while the MACD condition and recent declines identify stocks showing short-term weakness. It includes indicator formula references and sample code intended to apply the screen.

The document provides no backtest or performance results. It cautions that the limited conditions may exclude promising stocks, select unsuitable ones, and behave differently depending on the broader market. It recommends validating the MACD condition across market environments and potentially adding other technical or fundamental filters. The examples appear inconsistent in places: one formula describes declining moving averages, while the prose says consecutive down candles, and the stated MACD condition may not align with the formula. These definitions should be resolved before evaluating the strategy.

Key ideas

• The screen combines turnover between three and twelve percent with three consecutive declining sessions.
• It requires the MACD histogram to be negative two sessions before the current session.
• The note frames turnover as a filter for trading activity and the other conditions as signs of weakness.
• It warns that market-wide conditions can affect the usefulness of MACD.
• The formula examples differ from the written description and need verification.

Tags

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