A-Share Screening with Turnover, Rising DEA, and Bounded Daily Returns
Summary
This document describes a daily A-share stock screen using three filters: turnover between 3% and 12%, a rising DEA-style signal, and a daily return between -5% and 2.6%. It presents the screen as a way to combine trading activity, a technical trend condition, and a limited price-change range. The article provides reference formulas and Python-style pseudocode, making the selection logic more concrete than a general strategy description.
The source offers no backtest, performance data, or evidence that the thresholds predict future returns. Its indicator descriptions are not fully consistent: the prose names DEA, while the formula and sample code use moving-average differences in ways that do not clearly implement the standard MACD signal line. The article also notes that volatile markets can affect the return filter and that the screen may miss smaller companies. It suggests combining the criteria with fundamentals or additional indicators, but does not specify how to validate such changes.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects stocks using a rising DEA-style technical condition.\nThe daily return filter spans -5% to 2.6%.\nThe article supplies formula and Python-style references but no performance evaluation.\nThe indicator implementation should be checked because the description and examples are not fully aligned.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.