Stock Screening with Positive MACD and a Bounded Turnover Rate

Summary

This article describes a stock selection rule combining positive MACD with a turnover rate between 2% and 9%. It also mentions enterprise nature as a selection consideration, though the final formula and Python example do not define a corresponding enterprise filter. The post includes example screening expressions and code using JoinQuant data and a MACD calculation.

The rationale is to seek stocks with positive trend momentum and a turnover range intended to represent usable liquidity. The article warns that an enterprise-type filter may miss other relevant financial measures, and that a fixed turnover interval may not suit every market environment. It suggests adding technical and fundamental criteria and adjusting the turnover bounds. No performance evidence or backtest results are given; the example code's data handling and turnover calculation are not explained in enough detail to establish that it faithfully implements the stated rule.

Key ideas

• The core screen requires MACD above zero and turnover between 2% and 9%.
• The article treats positive MACD as a sign of upward price momentum.
• The turnover range is intended to retain stocks with suitable liquidity.
• The stated enterprise-nature criterion is not specified in the final formula or example code.
• The post recommends adding other indicators and adapting turnover bounds to market conditions.

Tags

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