A-Share Screen Using Turnover, DEA Momentum, and Rising Moving Averages
Summary
This stock-selection screen combines a daily turnover filter, a rising DEA condition, and an upwardly ordered set of moving averages. It selects stocks with turnover between 3% and 12%, a rising DEA measure, and closing-price averages from 5 through 120 periods arranged from shortest to longest in descending order. The article also provides formula and Python-style implementation references, but the precise DEA condition in the formula includes moving-average comparisons and a signal-line comparison, while the prose summarizes it simply as DEA rising.
The author says the screen focuses on liquidity and short-term price direction, and warns that it pays too much attention to immediate moves while omitting historical behavior and broader factors. Suggested additions include volume-based indicators, capital flows, news, and company announcements. No backtest results or performance evidence are supplied, so the screen is a candidate filter rather than a validated strategy.
Key ideas
- The screen requires turnover between 3% and 12% alongside an upward DEA condition.
- It seeks short-term trend alignment by ordering six moving averages from 5-period through 120-period.
- The article warns that the rules emphasize current price action and omit broader historical and fundamental context.
- It proposes adding volume, capital-flow, news, or announcement data, but reports no validation results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.