Chinese Equity Screen Using Turnover, Rising DEA, and Moving Averages

Summary

This Chinese-language strategy note describes a stock-selection screen combining turnover between 3% and 12%, a rising DEA measure, and a 20-day moving average above the 120-day average. It presents the screen as a way to find stocks with trading activity and a positive longer-term price trend. Formula and Python references show how to filter turnover, identify an increase in DEA, and apply the moving-average comparison.

The note warns that the screen relies on technical conditions and omits company fundamentals, industry conditions, and macroeconomic context. It suggests adding fundamental or sector features and adapting parameters to market conditions. No backtest period, returns, benchmark comparison, or risk statistics are provided, so the proposed criteria should be treated as a screening recipe rather than evidence of an effective strategy. The indicator specification should also be checked carefully: the formula reference uses moving-average calculations in its DEA condition, while the accompanying Python description names a DEA indicator.

Key ideas

• The screen requires turnover between 3% and 12% and an upward DEA reading.
• It also selects stocks whose 20-day average price exceeds the 120-day average.
• The note provides both indicator-formula and Python-style references for applying the conditions.
• The method excludes fundamentals, industry context, and macroeconomic conditions.
• No performance testing is presented, and the DEA formula description warrants verification.

Tags

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