Chinese Stock Screening with Turnover, Rising DEA, and Higher Lows

Summary

This Chinese stock selection approach combines a turnover range of 3% to 12%, a rising DEA signal, and evidence that recent lows are higher than prior lows. The rationale is to favor actively traded stocks showing upward momentum and an improving price floor. The document provides example screening logic and code references, but no backtest, performance figures, or empirical comparison supporting the combination.

Its stated limitations are that the higher-low condition can be subjective and that stocks with higher turnover may be excluded. It suggests adding indicators such as MACD and defining higher lows quantitatively, then validating that definition. The examples also leave details of the bottom-status calculation unclear, so implementation may vary across platforms.

Key ideas

• The screen requires turnover between 3% and 12%.
• A rising DEA reading is used as an upward momentum filter.
• The strategy seeks stocks whose lows are rising over successive periods.
• The document flags subjectivity in defining higher lows and recommends quantitative validation.

Tags

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