Stock Screening with Turnover, a Rising DEA Signal, and Company Type

Summary

This stock-selection note combines three conditions: turnover between 3% and 12%, a rising DEA-related signal, and membership in a specified company type. It gives formula and Python examples for applying the filters. The indicator formula compares short and long moving averages and their spread with a smoothed spread; the Python example instead checks whether a calculated DEA value is increasing. The company-type condition is left as a placeholder, so the selection cannot be fully reproduced without defining that category and its data source.

The article offers no backtest, performance figures, or evidence that the screen predicts returns. It cautions that company type alone may omit other fundamental influences and suggests adding fundamental and industry filters. The turnover band and indicator settings are presented as a screening recipe rather than a validated strategy. The formula and code also do not describe a holding period, entry or exit rules, transaction costs, or risk controls, so further specification would be needed to evaluate it as a tradable system.

Key ideas

• The screen requires turnover from 3% through 12%.
• It combines the turnover filter with a rising DEA-related technical signal and a specified company type.
• The company-type condition is not defined, limiting reproducibility.
• The article provides no performance test and recommends considering further fundamental and industry data.

Tags

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