A Chinese Stock Screen Using Volatility, KDJ Crossovers, and Returns

Summary

The proposed screen selects Chinese stocks with daily high-low amplitude above 1%, a newly formed KDJ crossover, and strong returns over a recent multi-year period. It combines a volatility condition with a momentum-style technical signal and prior price performance. The text supplies example formulas and Python-style steps for computing the conditions from adjusted daily stock data, then filtering candidates into an investment pool.

The author identifies several limitations: KDJ crossovers can give false turning signals, trend judgments can be subjective, selecting on past winners can leave a small or unrepresentative sample, and the screen omits company fundamentals and industry context. Suggested extensions include market capitalization and trading volume filters, additional indicators, longer return histories, and fundamental or industry analysis. The document offers no backtest results or evidence that the proposed screen predicts future performance; its stated rationale is a hypothesis rather than demonstrated efficacy.

Key ideas

• The screen combines daily amplitude above 1%, a fresh KDJ crossover, and strong returns over a recent multi-year period.
• The KDJ condition is intended to identify a recent change in price momentum.
• The proposal includes example calculations using historical adjusted stock prices.
• False crossover signals and reliance on prior winners can reduce the screen’s reliability.
• The author suggests adding liquidity, size, industry, and fundamental criteria, but reports no test results.

Tags

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