Stock Screening with Turnover, Ten-Day Return, and Rising MACD DEA

Summary

This A-share stock screen combines three conditions: turnover between 3% and 12%, a ten-day gain above zero but below 35%, and a rising MACD DEA line. The document explains the DEA condition as a trend-oriented technical filter and gives a formula-style rule plus a Python example using market data. It also describes ranking the resulting candidates by recent return.

The author notes that market sentiment and changing fundamentals can undermine the screen, and that a rising DEA is calculated from historical prices and cannot establish future value. Suggested improvements include examining company finances, business prospects, macroeconomic events, and portfolio concentration. No backtest results or evidence of predictive performance are presented. The provided Python logic does not clearly match every stated condition, so its calculation of turnover, ten-day return, and DEA would need validation before use.

Key ideas

• The screen requires turnover between 3% and 12% and a positive ten-day return below 35%.
• It uses an increase in the MACD DEA line as a trend filter.
• The example proposes ranking qualifying stocks by return.
• The document warns that historical indicators and market conditions can change the screen's usefulness.
• It provides no measured performance and its sample implementation requires validation.

Tags

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