A-Share Screen Using Turnover, Rising DEA, and a Daily Gain Above 1%

Summary

This document describes an A-share momentum screen requiring turnover from 3% to 12%, a rising DEA indicator, and a daily price gain above 1%. Its stated rationale is to combine recent price direction with a turnover filter representing trading activity. It includes indicator formulas and Python-oriented example logic for selecting securities.

The article supplies no backtest statistics or evidence of predictive performance. It warns that the rule omits company fundamentals and that an emphasis on technical indicators can produce unstable or overfit results. It recommends combining technical and fundamental analysis and using cross-validation to tune parameters. There is also a definition mismatch in the examples: the stated rule refers to DEA rising, while the supplied formula and code do not consistently calculate and compare the standard signal line across dates. Implementation should verify the indicator definition and avoid look-ahead or selection artifacts before evaluation.

Key ideas

• The screen combines turnover between 3% and 12%, rising DEA, and a daily gain above 1%.
• Its rationale is to mix short-term price direction with a trading-activity condition.
• The document gives formula and Python examples but no reported performance evidence.
• It flags omitted fundamentals and overfitting risk.
• The examples need validation because their DEA calculations do not consistently implement the stated condition.

Tags

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