A-Share Screen Using Turnover, Rising DEA, and a Moving-Average Cross

Summary

This note describes a Chinese stock selection rule combining turnover between three and twelve percent, a rising DEA measure, and a five-period moving average crossing above a ten-period average. The article frames turnover as a liquidity filter and uses DEA and the moving-average cross to combine shorter- and longer-horizon trend signals. It includes example formulas and code references, but reports no backtest results or measured performance.

The article cautions that a trend-focused screen may suffer losses during sharp market moves and that it considers only one moving-average cross rather than assessing other averages in depth. It suggests adding indicators such as RSI or fundamental measures such as company size and profit growth, without evaluating those additions. The written description calls for a weekly moving-average cross, while the displayed formula does not clearly implement that weekly frequency, so the intended time frame should be checked before using the examples.

Key ideas

• The screen filters stocks by turnover, a rising DEA signal, and a five-period average crossing above a ten-period average.
• The article presents the rule as combining liquidity with short- and longer-horizon trend information.
• No backtest or evidence of strategy performance is provided.
• The examples do not clearly show the weekly time frame specified in the prose.
• The author notes that sharp market moves and reliance on a single moving-average cross are limitations.

Tags

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