Screening Stocks by Turnover, DEA Trend, and Recent Limit-Ups

Summary

The document describes a Chinese equity screening rule combining a turnover range of 3% to 12%, a rising DEA indicator, and at least two limit-up events within the past 500 days. It presents these criteria as a way to combine liquidity, short-term trend, and market attention. Reference formulas and a Python example illustrate filtering by turnover and DEA change, then applying limit-up-related conditions.

The post acknowledges that the screen omits macroeconomic and industry conditions. It suggests extending the analysis with other technical and fundamental measures, including RSI, valuation ratios, and capital-flow information. No backtest results, transaction costs, portfolio construction, or out-of-sample evidence are supplied, so the listed criteria alone do not establish that the screen is profitable or robust.

Key ideas

• The screen retains stocks with turnover between 3% and 12%.
• It requires an upward DEA signal and at least two limit-up events in the stated lookback period.
• The post frames the criteria as capturing liquidity, short-term trend, and market attention.
• Macro conditions and industry context are among the stated omissions.
• The document provides example implementation logic but no performance validation.

Tags

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