Stock Screening with Turnover, DEA Momentum, and Holder Concentration

Summary

This stock selection rule screens for turnover between 3% and 12%, a rising DEA indicator, and a maximum holder concentration value no greater than 20%. The article describes the concentration filter as a way to favor stocks with more dispersed holdings and reduce reliance on a single large holder. It also provides reference formulas for a Chinese stock analysis platform and a Python-style workflow that filters by turnover and concentration, then retains stocks whose DEA change is positive.

The page cautions that concentration alone can obscure other relevant considerations and may exclude strong performers. It suggests combining the screen with fundamental or industry features and adapting parameters to market conditions. The document gives no backtest results, portfolio construction details, transaction cost assumptions, or evidence that the screen improves returns or reduces realized risk. The thresholds and indicator conditions are presented as a screening recipe, so they require independent testing before being treated as an investment strategy.

Key ideas

• The screen combines a turnover band, rising DEA, and a maximum holder concentration threshold.
• The concentration filter is intended to favor stocks with less concentrated holdings.
• A rising DEA condition is used as a momentum-style signal in the selection rule.
• The article warns that concentration filters can miss strong stocks and ignore other useful factors.
• No backtest or performance evidence is supplied for the screening recipe.

Tags

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