Chinese Stock Screening with Turnover, Rising DEA, and Moving-Average Signals

Summary

This post proposes screening A-shares for turnover between 3% and 12%, a rising DEA measure, and a bullish crossover condition based on moving averages. It presents the combination as a way to blend trading activity with trend and technical signals, and includes formula and sample implementation references. The listed crossover condition uses short and longer moving averages, while the text describes the screen as requiring three technical indicators to cross at once; the precise relationship between that description and the formula is not fully explained.

The author warns that the screen may overemphasize recent strength and omit other equity products, fundamentals, valuation, and broader risks. Suggested additions include RSI, valuation and profitability measures, and holding-period risk controls. The post offers no backtest, performance figures, or evidence that the conditions predict returns. The indicator formula and prose also appear to describe the DEA and crossover rules differently, so implementation details merit independent verification.

Key ideas

• The proposed A-share screen combines 3%–12% turnover with a rising DEA condition and bullish moving-average signals.
• The post presents the conditions as a blend of activity and technical trend signals.
• Its prose and formula do not clearly align on how many indicators must cross, so the rule needs clarification before use.
• Fundamental, valuation, and holding-period risk controls are absent from the base screen.
• No backtest or performance evidence is provided.

Tags

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