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Stock Screening with Turnover, Rising DEA, and a Beijing Market Exclusion

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Summary

This Chinese A-share screening rule selects stocks with turnover between 3% and 12%, a rising DEA condition, and exclusion of Beijing-listed A shares. The article presents turnover as a way to avoid both quiet trading and excessive activity, and treats rising DEA as a signal of an upward trend. It includes example indicator logic and a Python-style filtering function, with additional exclusions for suspended or newly listed stocks in its formula reference.

The post offers no backtest or performance evidence. It acknowledges that excluding Beijing-listed stocks may remove otherwise attractive candidates and that geography may not be decisive for investment results. It recommends broadening the screen with more technical and fundamental measures. The provided DEA formula uses moving-average relationships as its stated proxy, so readers should verify that this implementation matches the intended indicator definition before relying on it.

Key ideas

  • The screen requires turnover from 3% through 12%, a rising DEA condition, and exclusion of Beijing A shares.
  • The article frames turnover as a filter for moderate trading activity and DEA as a trend condition.
  • Example formula logic and a sample filtering function are provided, but no performance results.
  • The geographic exclusion may eliminate viable stocks without necessarily improving selection.
  • The author suggests adding technical and fundamental measures for broader analysis.

Tags

EquitiesTechnical indicatorsMomentum

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