A Chinese Stock Screen Combining Turnover, KDJ, and Auction Activity

Summary

This post describes a stock selection rule that combines daily turnover, a low KDJ K value, and prior-day opening-auction turnover. It treats the conditions as a buy signal: turnover must fall within a stated band, K must be below a threshold, and auction turnover must exceed a minimum. The author presents the rule as a way to find active stocks, with auction activity serving as a rough indicator of market sentiment. The post also includes references to implementing the screen in a stock platform and in Python.

The document gives no backtest, trade records, or performance comparison, so it does not establish whether the criteria are profitable. It warns that the screen omits fundamentals and broader market conditions, and that auction activity can be volatile. It recommends considering company and industry information, market sentiment, and capital flows alongside technical filters, while managing position size. The included Python example appears inconsistent with the stated signal because its filtering operation removes stocks that meet the described conditions, so the implementation should be checked before use.

Key ideas

• The proposed screen combines a turnover band, a low KDJ K reading, and prior-day auction turnover above a threshold.
• The author treats auction activity as a rough gauge of market sentiment.
• The post provides platform and Python implementation references, but the Python filtering logic appears to conflict with the stated buy conditions.
• No backtest or trade evidence is supplied to demonstrate the screen’s performance.
• The author notes that fundamentals, market conditions, and position sizing are absent from the basic rule.

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