A Chinese Stock Screen Combining KDJ Crossovers, Volatility, and ROE

Summary

This document describes a Chinese equity screening rule that selects stocks when daily high-low amplitude exceeds 1%, the KDJ indicator has just formed a golden cross, and return on equity has exceeded 15% in each of the past five years. It includes reference implementations for expressing the conditions and forming a candidate investment pool.

The rationale is that larger amplitude may offer return potential, a KDJ crossover may signal improving sentiment, and persistent high ROE may indicate business quality. These are hypotheses rather than demonstrated results: the document provides no performance tests or evidence that the combined screen predicts returns. It also flags limitations, including narrow technical criteria, possible distortions in ROE, and missing industry, competitive, and valuation context. Suggested refinements include adding those business and valuation measures, other indicators, capital-flow information, and periodic adjustment to market conditions.

Key ideas

• The screen combines daily amplitude above 1% with a recent KDJ golden cross.
• It also requires ROE above 15% in each of the previous five years.
• The document offers indicator and data-processing examples but no backtest evidence.
• ROE may reflect temporary factors, while the technical filters may create selection bias.
• Industry context, valuation, additional indicators, and capital flows are suggested as possible refinements.

Tags

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