A-Share Momentum Screen Using Range and a KDJ Crossover

Summary

The post proposes a stock-selection screen for Chinese A-shares combining three conditions: daily high-low range above 1%, a newly formed KDJ crossover, and a rise of more than 5% in the K value. The rationale is that a larger range signals volatility, the crossover may indicate improving sentiment, and a rising K value may capture short-term upward momentum. It provides indicator formulas and example implementations, but no historical performance results or backtest evidence.

The author cautions that the screen ignores company fundamentals and may be affected by broad-market and sector moves. High-range stocks can carry greater risk, and relying heavily on a recent oscillator increase may encourage chasing sharp moves. Suggested refinements include adding valuation or earnings data, considering market and sector trends, checking volume, and using a longer observation period. The post describes a screening rule rather than a fully specified portfolio strategy: it does not establish position sizing, exit rules, transaction costs, or risk controls.

Key ideas

• The screen requires range above 1%, a fresh KDJ crossover, and K rising by more than 5%.
• The proposed rationale combines volatility, a potential sentiment shift, and short-term momentum.
• The post supplies formula examples but no evidence from a reported backtest.
• Fundamentals, market and sector trends, volume, and a longer observation window are suggested as additional checks.
• Large-range stocks and indicator chasing can increase risk.

Tags

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