Screening Chinese Stocks by Turnover, DEA Direction, and Intraday Drawdown

Summary

This stock-selection idea combines three conditions: turnover between 3% and 12%, a rising DEA measure, and an intraday low between 4% and 5% below the previous close. The post presents both a platform formula and a Python-style outline for applying the filters. Its stated rationale is to focus on stocks with moderate turnover, improving indicator direction, and a bounded daily decline.

The article warns that the screen emphasizes short-term price movement and trend, while omitting broader company fundamentals and possible later price adjustments. It suggests adding measures such as market capitalization, leverage, profit growth, or other technical indicators. No backtest results, benchmark, holding period, or trading rules are supplied. Also, the displayed formula labels its moving-average spread condition as DEA, so readers should verify that its calculation matches their intended indicator before relying on the screen.

Key ideas

• The screen requires turnover in the stated 3% to 12% range.
• It selects for an indicator condition described as a rising DEA measure.
• The intraday low must be 4% to 5% below the prior close.
• The post notes that fundamental factors and subsequent price adjustments are not covered.
• No backtest evidence or portfolio and execution rules are provided.

Tags

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