Equity Screening with Turnover and a Rising DEA Signal

Summary

This note proposes an equity screen combining turnover with a rising DEA signal. It describes an initial turnover range of 3% to 12%, an additional condition requiring turnover between 2% and 9%, and a bullish DEA condition expressed through moving-average relationships. Since the turnover filters overlap, the effective permitted range is their intersection, 3% to 9%.

The rationale is to pair a technical signal with a liquidity filter. The note says this may identify stocks with favorable technical and trading-activity characteristics, while acknowledging that these limited inputs may not reflect fundamentals, sector conditions, or the broader market. It recommends adding such context and adjusting parameters as conditions change. It supplies indicator formulas and a Python-oriented outline, but gives no backtest, portfolio rules, or performance evidence. The strategy is therefore presented as a screening idea, not a demonstrated source of returns.

Key ideas

• The screen combines turnover between 3% and 12% with a second turnover condition between 2% and 9%.
• Taken together, the two turnover filters permit values from 3% to 9%.
• The DEA condition is intended to identify improving technical momentum.
• The note recommends considering fundamentals, industry context, and market conditions as additional inputs.
• No backtest or performance results are provided.

Tags

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