A Stock Screen Using Turnover, Rising DEA, and Prior-Day Trading Value

Summary

This short-term stock screen combines a turnover range of 3% to 12%, a rising DEA indicator, and prior-day trading value above 60 million. The stated intent is to focus on stocks with active trading and an improving trend signal. The accompanying Python example applies the turnover bounds, checks that DEA has increased, and uses the previous session's trading amount as a liquidity filter.

The document notes that sudden volatility or contracting trading value can make selection difficult, and that ignoring the broader market trend leaves the screen exposed to declines alongside the index. It suggests adding fundamental measures and other technical indicators for more context, as well as using risk controls. No backtest, performance evidence, or precise risk-management rules are given. The supplied formula and code are implementation references, so the screen should be understood as a basic candidate filter rather than a validated trading system.

Key ideas

• The screen requires turnover between 3% and 12% and a rising DEA reading.
• It also requires prior-day trading value to exceed 60 million.
• The rules aim to combine trading activity, a trend signal, and liquidity.
• The document warns that market-wide declines and sudden contractions in activity can undermine the screen.
• It provides no performance tests or detailed risk controls.

Tags

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