Chinese Stock Screening with Turnover, DEA Trend, and Lower Lows

Summary

This stock selection method combines a turnover range of 3% to 12%, a rising DEA condition, and a current low below the previous day’s low. The document presents the combination as a way to screen for active stocks with a bullish indicator signal, while also requiring a recent price dip. It gives indicator definitions and a Python example, though the code’s DEA condition is implemented using moving averages rather than a clearly matching DEA calculation.

The author warns that stocks with recent price rises may be overbought and suggests adding indicators such as RSI or MACD, or changing the turnover filter. No backtest results or performance figures are provided, so the proposed rationale is not supported by reported evidence. The screen also needs careful testing: a lower daily low can signal weakness as well as a possible entry opportunity, and indicator definitions may differ across platforms.

Key ideas

• The screen requires turnover between 3% and 12%.
• It combines a rising DEA signal with a current low below the previous day’s low.
• The provided Python example uses moving-average comparisons as its trend condition.
• The document warns about overbought entries and offers no backtest evidence.

Tags

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