Screening Stocks by Weekly MACD, Daily Range, and Turnover

Summary

This note describes an equity screen using daily price amplitude above 1, a positive weekly MACD signal, and prior-day actual turnover between 3% and 28%. Its refined version also requires market capitalization above 5 billion yuan. The proposed rationale is to combine short-term volatility and a weekly trend signal with trading activity, while excluding very small companies.

The article provides indicator formulas and sample Python logic, but no backtest, performance statistics, or evidence that the screen predicts returns. It warns that the method omits company fundamentals and that turnover rates vary across industries and stock types. Suggested refinements include adding financial, sentiment, or industry data and adjusting turnover bounds by stock category. The implementation details should be checked carefully, since indicators, fields, and currency or capitalization conventions may differ between platforms.

Key ideas

• The screen combines daily amplitude above 1 with a positive weekly MACD reading.
• It filters for prior-day actual turnover above 3% and below 28%.
• The refined rules add a market-capitalization floor of 5 billion yuan.
• The article offers formulas and code examples but reports no performance testing.
• Fixed turnover bounds and the omission of fundamentals are stated limitations.

Tags

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