A Stock Screen Combining Turnover, DEA Trend, and Large-Order Activity

Summary

This post describes an equity screening rule that selects stocks with turnover between 3% and 12%, a rising DEA indicator, and a high ranking on a measure labeled large-order net volume. The stated rationale is to combine a technical trend condition with a measure intended to represent large-flow activity. It includes formula and Python references, but those references are not fully consistent with the written rule: the ranking expression and the calculation presented do not clearly implement a ranking of large-order net volume. The indicator formula should also be checked against the intended DEA definition before use.

The post gives no backtest, benchmark, transaction-cost analysis, or evidence that the screen predicts returns. It cautions that technical indicators and flow measures alone may omit fundamentals, industry conditions, and broader market context, and suggests adjusting parameters as conditions change. Treat the criteria as a screening idea requiring validation, not as evidence of a profitable strategy.

Key ideas

• The screen combines a turnover band, an upward DEA condition, and a ranking based on purported large-order activity.
• Its stated turnover range is 3% to 12%, and it selects the top-ranked stocks under the flow criterion.
• The formula and code references appear inconsistent with the written ranking rule and need verification.
• The post provides no performance evidence or transaction-cost analysis.
• It recommends considering fundamentals, industry conditions, and the broader market alongside the listed signals.

Tags

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