Chinese Stock Screening with Turnover, Relative Gains, and DEA Trend

Summary

The document describes a Chinese A-share stock screen that combines turnover between 3% and 12%, a daily gain above 1% relative to the same sector, a main-board listing outside the STAR Market, and a rising DEA measure. It presents the DEA condition as a way to favor stocks whose trend indicator is moving upward. Example formulas and Python-style implementation are included, though the supplied code contains ambiguities in how it calculates relative performance, turnover, and DEA.

The document gives no backtest, return series, benchmark comparison, or evidence that the screen improves results. It warns that relying heavily on DEA can miss other indicators and company or industry developments, and suggests combining additional signals. The criteria therefore describe a candidate-selection rule, not a validated trading strategy; the text also does not specify portfolio construction, entry and exit rules, transaction costs, or risk controls.

Key ideas

• The screen combines a turnover band, a minimum daily gain, an exchange-board restriction, and an upward DEA condition.
• The author presents rising DEA as a filter for stocks with improving trend conditions.
• The examples do not consistently explain how relative gains, turnover, and DEA are calculated.
• The document provides no backtest or evidence of profitability.
• It cautions that technical filters can miss company-specific and industry changes.

Tags

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