Stock Screening with Turnover, Rising DEA, and Recent Limit-Ups

Summary

This Chinese-language strategy note describes a stock screen combining turnover between 3% and 12%, a rising DEA-related moving-average condition, and at least one limit-up within the past month. The rationale is to favor actively traded shares with positive trend signals and recent strong price performance. It provides indicator-formula and Python-style references for expressing the filters, but no measured performance results.

The author warns that changing market conditions may weaken the screen and that relying on price action alone can exclude fundamentally strong companies. Suggested refinements include industry or financial analysis and filtering for consecutive limit-up moves. The formula references are implementation examples rather than evidence that the strategy is profitable; the note does not report a backtest methodology or risk-adjusted results.

Key ideas

• The screen selects stocks with turnover between 3% and 12%.
• It requires a rising DEA-related condition and a limit-up event during the past month.
• The rationale combines trading activity, trend, and recent price strength.
• The note warns that market shifts and omitted fundamental factors can undermine the screen.
• Suggested additions include company analysis and a condition for consecutive limit-ups.

Tags

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