Screening Stocks by Turnover, Rising DEA, and Relative Volume

Summary

This Chinese equity screening method selects stocks with turnover between 3% and 12%, a rising DEA signal, and a volume ratio between 1.5 and 6. It is presented as a combination of liquidity and technical conditions: turnover and relative volume are intended to find active stocks while avoiding extremely high activity, and the DEA condition is meant to capture improving momentum. The article includes formula and Python-style implementation references.

The method comes with no backtest statistics or evidence of returns. The author notes that the filters may miss volatile stocks with potential and may include stocks whose activity is manipulated. Suggested additions include industry context, fundamentals, sentiment, and other technical indicators. The stated conditions also do not define position sizing, exits, or portfolio risk controls, so the screen alone does not specify a complete trading system.

Key ideas

• The screen uses turnover from 3% to 12%, rising DEA, and a volume ratio from 1.5 to 6.
• The method combines liquidity screening with a technical momentum condition.
• The article provides implementation references but no performance results.
• The author warns that the screen may miss opportunities or select manipulated stocks.
• Fundamental and contextual filters are suggested as possible refinements.

Tags

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