A-Share Screening with Turnover, Rising DEA, and Prior-Day Low

Summary

This A-share screening rule combines a turnover range of 3% to 12%, a rising DEA signal, and a close above the previous session’s low. The document explains the turnover filter as a way to focus on actively traded stocks and treats rising DEA and the price condition as signs of short-term upward strength. It includes example formulas and Python code for applying the conditions.

The source presents the screen as a short-term selection method, not a validated trading system. It warns that the rules may exclude stocks that later perform well and that large market swings can change the screening results. It suggests adding fundamental data or other indicators, but gives no backtest, performance statistics, transaction-cost analysis, or evidence that the proposed conditions predict returns. Its formula and Python examples also express the DEA calculation differently, so implementation details should be checked before use.

Key ideas

• The screen requires turnover between 3% and 12%.
• It seeks a rising DEA reading as a short-term trend condition.
• The closing price must exceed the prior session’s low.
• The document provides formula and Python examples, but no strategy performance evidence.
• Market volatility and the screening rules can cause missed opportunities or changing selections.

Tags

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