Stock Screening by Turnover, Rising DEA, and Large Float Market Value

Summary

This stock screen selects shares with turnover between 3% and 12%, a rising DEA condition, and circulating market value above 10 billion yuan. The accompanying formula describes the DEA condition through moving-average relationships, while sample implementation logic also filters for positive profit, price-to-earnings ratio, and price-to-book ratio. Thus, the stated core screen is extended with additional profitability and valuation checks in the example.

The rationale is to combine a technical signal and trading activity with company size, then optionally add fundamental filters. The document notes that favoring large market values can exclude smaller potential winners and that large stocks remain exposed to market swings. It suggests considering other fundamental and technical measures, but offers no backtest results or evidence that these thresholds predict returns. The precise metric construction and implementation should be checked before use.

Key ideas

• The stated screen requires turnover from 3% to 12%, rising DEA, and circulating market value above 10 billion yuan.
• The sample logic adds positive profit and positive valuation ratios as filters.
• The author warns that a large-cap focus may miss smaller candidates and does not remove market risk.
• No backtest or performance evidence is supplied for the proposed criteria.

Tags

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