Screening Chinese Stocks by Turnover, DEA Trend, and Float Size

Summary

This post outlines a Chinese equity screening rule combining turnover, a rising DEA condition, and a cap on tradable share count. It selects stocks with turnover between 3% and 12%, a rising signal derived from moving-average differences, and a circulating share count no greater than 5.5 billion shares. The post presents formula references for a screening platform and describes adding further indicators to assess candidates from more than one angle.

The proposed rationale is to favor stocks with some trading activity and a technical signal while restricting the screen to smaller floats. The author cautions that smaller stocks may be more exposed to market swings, and that a technical-only filter can miss company fundamentals or larger firms with value. No backtest, return series, comparison group, or performance evidence is supplied, so the stated rationale should not be read as demonstrated predictive power. The rule is a candidate-generation filter; its thresholds, indicator definition, and added fundamental checks would need independent validation before use.

Key ideas

• The screen combines turnover from 3% to 12%, an upward DEA-related signal, and a circulating-share limit of 5.5 billion.
• Its stated rationale is to find active, technically stronger smaller-float stocks.
• Smaller stocks may be more sensitive to market fluctuations, and a technical filter can overlook fundamentals.
• The post provides no performance test or evidence that the screen predicts returns.
• It suggests adding valuation or financial measures for broader analysis.

Tags

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