Screening Stocks with Turnover, Three Down Closes, and MACD

Summary

This Chinese-language post describes an equity screening idea that combines a turnover range of 3% to 12%, three consecutive down sessions, and a shortening negative MACD histogram on a 15-minute timeframe. The intended signal is that selling momentum may be easing while turnover remains within the chosen band, potentially identifying stocks with room to rise. The post supplies formula and Python examples, though the Python snippet’s data query uses daily frequency despite describing 15-minute data.

The examples illustrate how to calculate MACD, check recent histogram values, and filter a stock list. However, the implementation does not clearly establish a consistent definition of three down sessions, and its turnover calculation uses volume ratios rather than a stated market turnover-rate field. The author provides no backtest, comparison, or measured performance evidence. The post itself cautions that market conditions are uncertain and suggests combining the screen with other technical or fundamental inputs and tuning its thresholds. Treat the proposed conditions as a hypothesis requiring careful data and implementation checks.

Key ideas

• The screen combines turnover between 3% and 12% with a three-session decline pattern.
• A shortening negative MACD histogram is used as a sign that downward momentum may be easing.
• The intended MACD observation period is 15 minutes, though the Python example queries daily data.
• The sample turnover calculation uses volume ratios and may not match market turnover rate.
• No backtest results are provided, so the signal needs independent evaluation.

Tags

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