A-Share Screen for Turnover, Rising DEA, and Seven Declining Closes

Summary

This Chinese-language article describes an A-share stock screen combining turnover, a rising DEA measure, and a run of declining closes. It selects stocks with turnover between 3% and 12%, an increasing DEA, and lower closing prices on each of the most recent seven trading days. The article includes example formula logic and Python-style pseudocode for applying these conditions to price and turnover data.

The screen mixes a trading-activity constraint with a momentum-style indicator condition and recent price weakness. The article characterizes the falling closes as a possible sign of pessimism, but provides no backtest results or evidence that the combination predicts a reversal or other profitable outcome. It notes that the approach may miss sideways stocks and can select stocks too pessimistically, leading to poor choices or missed opportunities. It suggests adding valuation measures and adjusting thresholds, while leaving the effects of such changes untested.

Key ideas

• The screen requires turnover between 3% and 12% and a rising DEA measure.
• It also requires seven consecutive trading days with lower closes.
• The article provides formula and Python-style examples for implementing the conditions.
• It warns that the rules may miss sideways stocks or produce overly pessimistic selections.
• No performance test is provided for the proposed screen or suggested refinements.

Tags

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