Stock Screen Using Turnover, Rising DEA, and Ten-Day Returns

Summary

This Chinese equity screen combines a turnover rate from 3% to 12%, a rising DEA condition, and a ten-day return above zero but below 35%. The article describes moderate turnover as a way to seek active trading without extreme activity, uses rising DEA as a trend signal, and caps recent gains to filter out stocks with unusually strong short-term moves. It includes formula and Python examples for constructing the filter.

The source suggests that the return bound may be adjusted and that technical signals could be combined with fundamental measures. It also notes that the screen may exclude established companies with growth potential or stable stocks that do not meet its thresholds. No backtest results, execution assumptions, or risk-adjusted performance data are supplied, so the proposed rationale remains unvalidated in the document.

Key ideas

• The screen selects stocks with turnover between 3% and 12%.
• Its DEA condition is intended to identify an upward trend.
• It constrains the ten-day return to a positive value below 35%.
• The article proposes tuning the return bound and adding technical or fundamental filters.
• It gives no empirical performance evidence for the combined screen.

Tags

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