Stock Screening with Turnover, Rising DEA, and Listing History
Summary
This Chinese stock-selection rule requires turnover between 3% and 12%, a rising DEA indicator, and at least one year since listing. The article describes turnover as a liquidity screen and rising DEA as a signal of improving short-term direction. It provides formula and Python examples; the formula’s DEA condition is expressed through moving-average relationships, while the Python example checks that the calculated DEA has increased.
The article offers a rationale for preferring established listings but supplies no backtest, performance statistics, or comparison with alternative rules. It cautions that relying on listing age and past price behavior leaves other market influences unaddressed. It recommends considering additional technical and fundamental variables, and testing on separate in-sample and out-of-sample periods to reduce overfitting risk. Those additions are suggestions rather than evidence that the screen works.
Key ideas
- Candidates must have turnover between 3% and 12%.
- The screen requires the DEA indicator to be rising.
- Stocks must have been listed for at least one year.
- The article provides formula and code examples without backtest results.
- It recommends adding other measures and using out-of-sample evaluation to check robustness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.