A-Share Screen Using Turnover, a Rising DEA Signal, and Prior-Day Activity

Summary

This article describes an A-share stock screen requiring current turnover between 3% and 12%, a rising DEA-related signal, and turnover above 8% on the previous day. It presents the combination as a way to find liquid shares with recent trading activity and a potentially strengthening technical profile. The page includes indicator and Python examples, but it does not report a backtest, selected securities, or measured returns.

The author notes that turnover and technical conditions can miss lower-turnover companies with potential value and can be affected by market sentiment. Suggested refinements include adding company fundamentals, industry competitiveness, and sentiment or capital-flow measures. The implementation details deserve caution: the displayed formula and code do not clearly align with the stated previous-day condition, and the code's handling of duplicate rows makes the intended historical observation difficult to verify. The screen is therefore a rule sketch, not validated evidence of predictive performance.

Key ideas

• The screen combines current turnover from 3% to 12% with a rising DEA-related condition.
• It also requires previous-day turnover above 8% according to the written rule.
• The article proposes adding fundamental and sentiment inputs to broaden the selection process.
• No performance study is supplied, and the sample code may not implement the stated prior-day filter consistently.

Tags

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