Chinese Stock Screening with Turnover, Rising DEA, and Prior-Day Filters

Summary

This Chinese stock-screening rule selects shares with turnover between 3% and 12%, a rising DEA indicator, and a prior-day condition excluding limit-up stocks. The article presents the turnover band as a liquidity screen and DEA direction as a short-term trend signal. It also includes indicator logic and reference implementations for expressing the filters in stock-screening tools.

The document provides no backtest, return, or risk statistics to establish whether the combination works. It notes that the rule omits other market influences and suggests adding indicators or fundamental measures, while warning that validation is needed to reduce overfitting. The proposed changes are suggestions rather than tested improvements. The screen is therefore a narrow technical selection rule, not a complete portfolio or execution plan.

Key ideas

• The screen requires turnover between 3% and 12% and a rising DEA measure.
• It excludes stocks meeting the specified prior-day limit-up condition.
• The article frames turnover and DEA as liquidity and short-term trend filters.
• It provides no evidence of historical or live performance and flags omitted market factors.
• Additional technical and fundamental inputs, with validation, are suggested but not evaluated.

Tags

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