Chinese Stock Screening with Turnover, Rising DEA, and Positive P/E

Summary

This Chinese stock-selection rule combines a turnover range of 3% to 12%, a rising DEA signal, and a positive price-to-earnings ratio. The technical condition is defined through the relationship among short and long moving averages and their difference relative to a smoothed signal, while the Python example selects stocks with an increasing DEA value. The positive P/E screen adds a basic valuation constraint to the technical and activity filters.

The document warns that P/E alone cannot represent a company’s investment value and suggests considering measures such as price-to-book, PEG, or dividend yield alongside technical indicators. It provides formula and code references but no backtest, performance statistics, or evidence that the combination predicts returns. The rule also screens out companies with non-positive earnings, which limits its coverage and does not resolve valuation differences across businesses or sectors.

Key ideas

• The screen requires turnover between 3% and 12%, rising DEA, and P/E above zero.
• The DEA condition is based on moving-average relationships and an increasing signal value.
• Positive P/E adds a basic earnings-based filter but does not establish fair value.
• The document proposes combining additional fundamental and technical measures, without reporting test results.

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