A Chinese Stock Screen Combining Turnover, Rising DEA, and Early Limit-Ups

Summary

This note proposes selecting non-ST stocks with turnover between 3% and 12%, a rising DEA signal, and a limit-up move before 10:00. It describes this as a short-term limit-up approach, using the early timing of the price move alongside a trend filter and exclusion of specially treated stocks. The article includes formula and Python examples for expressing parts of the screen.

The stated rationale is to combine trading activity and trend direction while focusing on early limit-up behavior. However, the article acknowledges that short-lived surges may reflect speculation, can be vulnerable to selling pressure, and say little about long-term prospects or fundamentals. It recommends adding other technical and fundamental checks and verifying turnover data. The examples do not consistently define the time window or the DEA calculation: one uses moving-average comparisons, while another calls a library function, and the Python limit-up proxy is based on high equaling low. No backtest, performance results, or evidence of reduced risk is supplied, so the rules need precise specification and validation.

Key ideas

• The screen combines turnover from 3% to 12%, a rising DEA signal, non-ST status, and a limit-up before 10:00.\nThe approach targets early intraday price surges as a short-term signal.\nThe article warns that limit-ups may reflect speculation and do not establish long-term value.\nThe provided formula and code differ in their definitions and require clarification.\nNo backtest or performance evidence is included.

Tags

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