A Stock Screen Combining Turnover, DEA Trend, and Control Ratio

Summary

This document proposes a stock selection rule combining turnover, a rising DEA signal, and a measure described as the proportion of trading control. It selects stocks with turnover between 3% and 12%, an increasing DEA indicator, and a control ratio above 1.21, corresponding to the stated threshold of more than 21%. The rationale is to combine market activity with an upward trend signal and a measure of relative strength. Example indicator logic and a Python-style implementation are included.

The article offers no backtest, return data, or comparison against a benchmark, so it does not establish that the screen is profitable. It notes that the control ratio’s definition may be subjective and that the rule may omit active stocks with lower control readings. The indicator formulas and the stated DEA description may also depend on platform-specific definitions. The screen should be treated as a hypothesis for further testing, with clear signal definitions and out-of-sample validation.

Key ideas

• The screen filters for turnover between 3% and 12%, a rising DEA signal, and a control ratio above 1.21.
• The stated rationale combines trading activity, trend direction, and a relative-strength measure.
• The article supplies example indicator and selection logic but no performance evidence.
• The control ratio may be ambiguously defined, and platform-specific indicator conventions can affect results.

Tags

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