A Chinese Stock Screen Using Turnover, KDJ, and Auction Volume

Summary

This Chinese equity screening rule selects stocks with turnover between 3% and 12%, a rising KDJ K value, and a volume condition based on the prior day's turnover and the relationship between current auction volume and prior volume. The post presents the criteria in prose and as indicator logic, alongside a Python example intended to illustrate applying filters to tabular stock data.

The author says the turnover and momentum filters are meant to combine price direction with liquidity, while the volume constraint screens for activity within a bounded range. It warns that comparisons with the prior session may behave poorly when market conditions differ sharply between sessions, and suggests adding other indicators as possible refinements. No backtest, performance evidence, or defined holding and exit rules are supplied, so the screen alone does not demonstrate profitability; the code example also appears inconsistent with the stated volume comparison.

Key ideas

• The screen requires turnover between 3% and 12% and a rising KDJ K value.
• It adds a bounded volume condition using current auction activity and prior-session data.
• The proposed rationale is to combine momentum with a liquidity or activity filter.
• Large changes between the current and prior sessions can affect the screening result.
• The document gives no performance test or complete trading and exit plan.

Tags

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