Chinese Stock Screen Using Turnover, Rising DEA, and Recent Limit-Ups

Summary

This document describes a Chinese equity screening rule that combines daily turnover, a rising DEA signal, and recent limit-up activity. It selects stocks with turnover between 3% and 12%, an increasing DEA value, and more than two limit-up days in the prior ten trading days. It also provides example indicator logic and a Python implementation outline for applying the filters.

The screen is intended to find stocks with recent price strength, but the document gives no backtest results or performance evidence. Its stated caveats are that the rule omits company fundamentals, industry conditions, and the broader economic environment. It suggests adding other factors and adapting parameters to market conditions. The implementation examples should be checked carefully before use: indicator definitions and the limit-up counting condition may not match the verbal rule exactly, and the page does not specify execution assumptions or risk controls.

Key ideas

• The screen filters for turnover between 3% and 12%.
• It requires an increasing DEA indicator and more than two limit-up days within ten trading days.
• The document supplies example indicator logic and a Python workflow for selecting stocks.
• It does not report backtest evidence or address fundamentals, market context, or risk controls.

Tags

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