Combining Turnover, Rising DEA, and Large-Order Flow in a Stock Screen

Summary

This Chinese A-share screening idea combines a turnover band of 3% to 12%, a rising DEA indicator, and a condition that price change multiplied by net volume from very large orders is positive. The document presents the combination as a way to capture liquidity and market sentiment, pairing an indicator trend with trading activity and order-flow information.

It includes formula and Python illustrations, but they do not clearly match the stated rule: the examples calculate or compare volume changes and price changes in place of the specified large-order net volume product. The DEA descriptions also differ in their calculation details. No backtest, benchmark, or performance figures are supplied. The author cautions that focusing on trading activity and short-term sentiment may overlook company fundamentals and may be less suitable for longer trend periods; extreme observations can also distort results. Industry, company characteristics, institutional holdings, and data cleaning are suggested as possible refinements, without evidence that they improve outcomes.

Key ideas

• The proposed screen limits turnover to 3%–12% and requires a rising DEA reading.
• It also requires the product of price change and very large order net volume to be positive.
• The examples use proxies that may not faithfully reproduce the described order-flow condition.
• The method emphasizes short-term liquidity and sentiment while leaving fundamentals less represented.
• The document provides no empirical performance evidence.

Tags

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