A-Share Screening with Turnover, DEA Trend, and Prior-Day Activity

Summary

This note describes an A-share stock screen combining current turnover, a rising DEA signal, and a prior-day activity condition. The stated thresholds require turnover between 3% and 12% and prior-day actual turnover between 3% and 28%. The accompanying indicator and Python examples attempt to represent the conditions, although the prose and formulas do not appear to use the same definition for the prior-day turnover measure.

The rationale is to find stocks with active trading and a positive trend signal. The author warns that highly active stocks may be short-term overbought and prone to pullbacks, while the screen may miss smaller, lower-turnover stocks. The note suggests adding other technical measures and fundamental checks such as earnings or valuation. It provides no backtest, performance statistics, or evidence that these filters predict returns, so the rules should be treated as a screening hypothesis rather than a validated strategy.

Key ideas

• The screen combines turnover between 3% and 12% with a rising DEA signal.
• It also requires a prior-day activity measure between 3% and 28%.
• The note cautions that highly active stocks may be overbought and vulnerable to pullbacks.
• The accompanying formulas may not match the stated prior-day turnover condition.
• No backtest or performance evidence is provided.

Tags

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