Screening A-Shares by Turnover, Rising DEA, and Opening Gap

Summary

This document outlines an A-share stock-selection rule requiring turnover between 3% and 12%, a rising DEA signal, and an opening price from 2% below to 5% above the previous close. It provides example indicator formulas and Python-style logic that calculates an EMA-based MACD difference and filters by its change. The stated rationale is to combine a moderate level of trading activity, a short-term technical trend signal, and a bounded opening move.

No backtest results or evidence of predictive performance are supplied. The text flags that volatile opening moves can affect the screen and that some smaller companies with potential may be excluded. It recommends considering fundamental and additional market indicators, such as RSI, but does not define a validation method. The formula and example code also express the DEA condition differently, so implementation details should be checked before relying on the screen.

Key ideas

• The proposed screen combines turnover, a rising DEA condition, and a bounded opening gap.
• The opening-price filter ranges from 2% below to 5% above the prior close.
• The document supplies example formulas but no performance test or evidence of predictive value.
• It notes that the conditions may exclude smaller stocks and can be affected by volatile opening prices.
• The displayed DEA formula and sample code differ, making implementation verification important.

Tags

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