A-Share Screen Using Range, KDJ Crossovers, and Limit-Up History
Summary
The document proposes a Chinese stock screening rule that selects shares with a daily high-low range above one percent, a newly formed KDJ crossover, and at least two limit-up events within the prior 500 trading days. It interprets the range as a volatility filter, the crossover as a possible improvement in momentum, and repeated limit-ups as a sign of market attention. Formula and Python examples illustrate how to calculate the filters and combine them into a candidate list.
No backtest results or return evidence are provided, so the selection logic remains a hypothesis rather than a validated strategy. The post warns that the screen omits company fundamentals, may select stocks after much of a rally has occurred, and is exposed to broader market conditions and capital flows. It suggests adding valuation or earnings measures and considering index direction or other indicators. Implementation details and limit-up calculations may also depend on data conventions and market-specific rules.
Key ideas
- The screen combines a daily range threshold, a recent KDJ crossover, and a count of past limit-up sessions.
- The proposed filters are intended to find volatile shares with improving momentum and prior market attention.
- The document provides indicator formulas and sample implementations but no performance test or return evidence.
- Fundamental conditions, market direction, and the risk of entering after a rally are noted as limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.