A Chinese Stock Screen Using Daily Range, KDJ Crossovers, and Turnover

Summary

This post describes a Chinese equity screening rule that selects stocks with an intraday high-low range greater than 1%, a newly formed KDJ crossover, and trading value above 60 million yuan. It explains these filters as a way to seek active, volatile stocks showing a potentially improving short-term signal, and provides formula and Python examples for implementing the screen. The code’s conditions refer to the crossover on the current observation and turnover from the prior observation.

The post supplies no backtest results or evidence that the signal predicts gains. It acknowledges that the rule omits company fundamentals, that high turnover may be temporary, and that special stock categories can introduce additional risk. It suggests incorporating fundamental data and accounting for market structure, liquidity, and unusual listing or risk-warning status. The screen is therefore a candidate selection rule, not a demonstrated trading strategy.

Key ideas

• The screen requires an intraday range above 1%, a newly formed KDJ crossover, and turnover above 60 million yuan.
• The examples specify the crossover on the current observation and turnover from the previous observation.
• The post provides no results establishing the screen’s profitability.
• Fundamentals, temporary turnover, liquidity, and special stock categories are identified as limitations.

Tags

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