Screening A-Shares with Turnover, Rising DEA, and a 250-Day Trend Filter
Summary
This post outlines a Chinese A-share stock screen combining turnover between 3% and 12%, a rising DEA signal, and a previous closing price above the 250-day moving average. The filters combine trading activity with a technical momentum and trend check. The post includes formula and Python examples, using moving averages and changes in the DEA-like spread to represent the indicator’s rise.
No backtest statistics or evidence of profitability are presented. The author notes that the screen can miss stocks after a sudden price decline, ignores other fundamental factors, and may be unstable in volatile markets. Suggested improvements include adding fundamental and technical measures and risk controls such as RSI. These additions are proposals rather than tested modifications, and the document does not specify portfolio rules, transaction costs, or holding periods.
Key ideas
- The screen requires turnover between 3% and 12% and a rising DEA signal.
- It also requires the previous close to exceed the 250-day moving average.
- The document provides formula and Python examples but no performance evaluation.
- It flags sensitivity to volatile conditions and missing fundamental or risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.