A Chinese Stock Screen Using Turnover, Rising DEA, and No Prior-Day Limit-Up

Summary

This Chinese equities screening rule selects stocks with turnover between 3% and 12%, a rising DEA-related signal, and no limit-up session on the previous day. The rationale given is that the turnover band targets relatively active shares, while removing yesterday’s limit-up stocks avoids relying on a recent extreme move. The article presents both a platform-specific screening expression and a Python example, although their DEA conditions are not identical: the prose and formula refer to MACD-style DEA, while the example compares moving averages and their recent direction.

The post offers no backtest results or performance evidence for this screen. It cautions that changing market conditions and company fundamentals can affect outcomes, and that excluding prior-day limit-up stocks may omit future winners. It suggests supplementing technical screening with fundamental and other indicator checks, but does not specify or test those additions. The stated turnover bounds and indicator definitions are screening choices, not demonstrated optimal parameters.

Key ideas

• The screen combines a turnover range, an upward DEA-related condition, and exclusion of stocks that hit the daily limit the previous day.
• The turnover band is intended to focus on relatively active stocks.
• The post's prose and examples describe the DEA condition inconsistently.
• The article provides no reported backtest evidence for the proposed selection rule.
• Market shifts, changing fundamentals, and missed potential winners are identified as limitations.

Tags

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