A-Share Screen Combining Turnover, KDJ Cross, and ROE

Summary

This proposed A-share stock screen combines turnover between 3% and 12%, a newly formed KDJ bullish crossover, and return on equity above 15% in each of the past five years. The article presents turnover as a measure of trading activity, KDJ as a technical entry signal, and sustained ROE as a profitability filter. It includes formula and Python examples for applying the conditions, though the example’s quantile-based turnover check and KDJ comparison do not clearly implement every stated rule in the same way.

The post offers no backtest, selected-stock results, or evidence of returns. It warns that high historical ROE does not by itself establish investment value, may be manipulated, and can omit relevant technical, industry, and valuation factors. It suggests adding measures such as profit growth, leverage, sector context, and valuation. The screen is therefore a proposed filter whose definitions and data handling would need validation before use.

Key ideas

• The screen combines a 3%–12% turnover band, a fresh KDJ bullish crossover, and five consecutive years of ROE above 15%.
• The article treats turnover, technical timing, and profitability as complementary selection dimensions.
• Its code examples do not clearly match all stated conditions exactly.
• No backtest or performance evidence is provided, and historical ROE has limitations.

Tags

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