A-Share Screening with Turnover, Rising DEA, and Institutional Accumulation
Summary
This document describes a Chinese A-share screening rule combining daily turnover between 3% and 12%, a rising DEA signal, and evidence of institutional accumulation. The proposed institutional filter requires holdings to grow for three consecutive quarters, with the latest quarter above the prior two, and institutional holding value to increase by more than 20% from the previous quarter. The post also gives indicator and sample implementation references, while noting that the institutional holdings calculation may need adaptation to available data.
The rationale is to combine trading activity, a trend signal, and institutional positioning. The author cautions that institution-related data may be inaccurate and that institutional styles differ, so the screen does not ensure price gains or correct selection. Suggested refinements include adding indicators such as KDJ or RSI, reviewing reliable institutional disclosures, and using fundamental analysis. No backtest, performance evidence, or risk-adjusted results are provided, so the method is presented as a screening idea rather than a validated strategy.
Key ideas
- The screen selects A-shares with turnover between 3% and 12%.
- It requires the DEA signal to be rising.
- Institutional accumulation is represented by consecutive quarterly holding increases and a greater-than-20% rise in holding value.
- The document warns that institutional data may be inaccurate and does not guarantee that selected stocks will appreciate.
- It suggests combining the screen with other technical indicators and fundamental analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.