Screening Chinese Large-Cap Stocks by Turnover and Rising DEA

Summary

This note proposes screening Chinese stocks whose codes begin with 60, whose turnover rate falls between 3% and 12%, and whose DEA signal is rising. The accompanying Python example identifies the code prefix and calculates the MACD signal line from daily closing prices, treating an increase from the prior observation as a rising DEA condition. The text presents turnover and this technical signal as the core selection criteria.

The article acknowledges that the screen leaves out other relevant influences, including company fundamentals, macroeconomic conditions, and market volatility. It suggests adding financial measures and risk controls. No backtest, return data, or evidence of predictive value is supplied, and the code example does not implement the stated turnover filter. The screening rule should therefore be read as a basic technical selection idea rather than a validated trading strategy.

Key ideas

• The proposed universe is Chinese stocks with codes beginning with 60 and turnover between 3% and 12%.
• A rising DEA value is used as the technical selection signal.
• The example identifies a rising signal line by comparing its latest value with the previous one.
• The article recommends adding financial factors and risk controls.
• There is no performance evidence, and the example omits the stated turnover condition.

Tags

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