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

Summary

This stock screen selects companies with turnover between 3% and 12%, a rising DEA condition, market capitalization below 10 billion yuan, and positive past net profit. The accompanying examples express the filters in formula and Python-style screening logic. The DEA condition is described using moving averages of closing prices and their difference relative to a nine-period average. The screen also excludes halted and newly listed stocks in the formula example.

The rationale offered is that moderate turnover indicates activity, the DEA condition points to an upward trend, and positive earnings filters out unprofitable firms. The article cautions that the size cutoff can exclude larger profitable companies and does not ensure that smaller firms have good growth prospects. It recommends considering additional technical and fundamental measures. No backtest results, return figures, or evidence of screening success are provided, so the rules are a candidate filter rather than a validated strategy.

Key ideas

• The screen combines a 3%–12% turnover range with a rising DEA condition.
• It limits eligible companies to market capitalization below 10 billion yuan and positive past net profit.
• The formula example excludes halted and newly listed stocks.
• The stated rationale is to combine trading activity, an upward trend signal, company size, and profitability.
• The article warns that the size limit can omit profitable larger companies and does not establish future growth or screening performance.

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