A-Share Screen Using Turnover, KDJ Cross, and Moving Averages

Summary

This stock-selection rule screens A-share equities using three conditions: turnover between three and twelve percent, a newly formed KDJ bullish crossover, and the 20-day moving average above the 120-day moving average. The stated rationale combines a turnover-based liquidity filter with a short-term momentum signal and a longer-term trend condition. The article also sketches how these conditions might be translated into indicator formulas and stock data processing.

The source identifies an important limitation: the screen does not account for company fundamentals, industry differences, or other business risks, and it suggests adding measures such as profitability and growth. It provides no backtest, return series, benchmark comparison, or transaction-cost analysis, so the rule’s effectiveness is unestablished. The prose describes a fresh KDJ crossover, while the illustrative implementation checks only that the latest KDJ value exceeds the prior one; that may not fully capture a crossover event. Turnover and signal definitions also depend on data conventions.

Key ideas

• The screen combines a turnover range with a KDJ bullish crossover and a moving-average trend filter.
• The trend condition requires the 20-day average price to exceed the 120-day average.
• The article notes that technical filters omit company and industry fundamentals.
• Its example implementation may not fully test for a newly formed crossover.
• No backtest or evidence of risk-adjusted performance is supplied.

Tags

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