Screening Shanghai-Listed Stocks by Turnover and Rising DEA

Summary

The document describes an equity screen that combines turnover between 3% and 12%, a rising DEA condition, and stock codes beginning with 60. Its indicator formula uses moving-average relationships associated with MACD, while its example code applies a DEA calculation and filters by turnover and code prefix. The rule narrows the universe to a subset of Chinese-listed shares and uses trading activity and a momentum-style indicator as selection criteria.

The post provides no backtest results or performance data. It cautions that the screen may overemphasize current market conditions and overlook companies with durable long-term value. It recommends combining technical signals with fundamental measures and further historical analysis. The example is a screening recipe, not a complete trading system: it does not specify entry execution, exits, position sizing, or risk controls.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks whose codes begin with 60.
• The rising DEA condition is based on moving-average and signal-line relationships.
• The source warns that technical selection may neglect long-term company value.
• No historical performance evidence or trade management rules are provided.

Tags

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