Chinese Stock Screen Using Turnover, DEA Momentum, and Market Capitalization

Summary

This document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, a rising DEA signal, and market capitalization of at least 200 million. It provides indicator-formula and Python examples for implementing the filters. The DEA condition is represented through the relationship between short and long moving averages and their difference from a smoothed signal; the Python example instead applies a DEA calculation and retains stocks whose DEA has increased.

The article argues that a minimum size filter can narrow the universe, while warning that market capitalization alone does not determine performance. It suggests combining the screen with additional fundamental and industry information. No backtest results, comparison group, return figures, or risk estimates are provided, so the rule should be treated as a screening idea rather than evidence of an effective strategy. The examples also depend on platform-specific data definitions and implementation choices.

Key ideas

• The screen requires turnover between 3% and 12% and market capitalization of at least 200 million.
• It uses a rising DEA measure as a momentum filter.
• The document supplies formula and Python implementation examples.
• Market capitalization is presented as one screening input, not a standalone predictor.
• The article provides no backtest evidence or performance estimates.

Tags

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