Selecting Chinese Stocks by Turnover, DEA Trend, and Opening Gap

Summary

This Chinese stock-screening example selects shares with turnover between 3% and 12%, a rising DEA condition, and a price move below 6% at the 9:25 screening time. It provides a formula-style expression and a Python sketch that filters turnover, calculates a DEA-related condition, and checks time and price change. The selection logic is intended to combine liquidity, technical direction, and a short-term price constraint.

The article acknowledges that a screen based on short-term price behavior can miss underlying company value and may be unreliable during rapid market moves. It suggests adding fundamental and technical criteria and considering longer-term trends. The stated final logic is therefore more aspirational than fully specified: no detailed evaluation, backtest, transaction assumptions, or risk-adjusted results are supplied. The provided DEA formula and Python sketch also express the indicator and timing filters differently, so implementation details should be checked before use.

Key ideas

• The screen restricts stocks to a turnover range of 3% to 12%.
• It combines a rising DEA-related condition with a price-change filter at 9:25.
• The document supplies both formula-style and Python examples of the selection logic.
• The author cautions that short-term filters can overlook fundamentals and longer-term market direction.
• No backtest or performance evidence is provided, and the examples may require implementation checks.

Tags

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