A Chinese Equity Screen Using Turnover, DEA, Volume, and Gap-Up

Summary

This document describes a Chinese stock selection screen combining four conditions: turnover between 3% and 12%, a rising DEA signal, current volume above 10,000 lots, and an open above the previous session’s high. It provides corresponding indicator logic and sample implementations for a charting formula and a Python dataframe workflow. The combined filters aim to find actively traded stocks with a bullish technical signal and a gap-up opening.

The material explains the selection criteria but supplies no backtest, performance statistics, or market regime analysis. It cautions that the screen omits company fundamentals, industry conditions, and macroeconomic factors, and suggests adding other features and adjusting parameters to market conditions. The DEA expression is described through moving-average relationships, so users should verify that the implementation matches their intended indicator definition and data conventions before evaluating results. The screen is a candidate-generation method, not a complete trading or risk management plan.

Key ideas

• The screen requires turnover between 3% and 12%, a rising DEA condition, volume above 10,000 lots, and an open above the prior high.
• The document gives both formula-style and Python-style examples of the filters.
• The proposed logic focuses on technical signals, activity, and opening strength.
• No empirical performance evidence is provided.
• Fundamental, industry, and macroeconomic context are outside the screen.

Tags

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