Stock Screening with Turnover, Order Flow, and Rising DEA

Summary

This note describes a Chinese-equity screening rule combining a turnover-rate range of 3% to 12%, outside volume more than 1.3 times inside volume, and a rising DEA indicator. It presents the conditions as a way to find actively traded stocks with buying pressure and improving short-term momentum. A SQL-style selection example and Python implementation illustrate how the filters might be applied, with the Python version also requiring a recent volume surge and ranking candidates by a turnover-and-volume weight.

The article cautions that a rising DEA line does not establish company quality or long-term growth potential, and that the rule omits fundamental and other technical factors. It suggests adding valuation, dividend, or RSI measures, or exploring machine learning. No backtest results or performance evidence are provided, and the examples do not fully match: the Python code adds criteria beyond the stated core rule, while the introductory heading and body differ on the outside-to-inside volume threshold.

Key ideas

• The core screen combines turnover between 3% and 12% with outside volume more than 1.3 times inside volume.
• A rising DEA indicator is used as a short-term trend filter.
• The Python example adds a recent volume surge and ranks candidates using a turnover-and-volume weight.
• The article warns that the screen omits fundamentals and cannot establish long-term potential.
• No performance results are reported, and the examples contain differences from the stated rule.

Tags

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