A-Share Screen Using Turnover, KDJ Crosses, and Institutional Activity

Summary

This A-share screening approach combines liquidity, a technical signal, and institutional trading activity. It selects stocks with market capitalization above 1 billion, turnover between 3% and 12%, a KDJ golden cross, and an institutional trading share ranked among the highest 10%. The article presents the conditions as a way to identify liquid stocks with a newly emerging upward signal and notable institutional participation.

The document explains the rationale for each filter and includes example formula and Python implementations, but supplies no backtest results or evidence that the screen predicts returns. It cautions that fundamentals and industry characteristics are omitted, and that “institutional bottom-fishing” is subjective unless operationalized with data. Implementation details also need validation: the sample code’s turnover calculations and indicator conditions may not precisely match the stated screen. Further testing and explicit data definitions are needed before use.

Key ideas

• The screen combines turnover, a KDJ golden cross, and institutional trading activity.
• It specifies market capitalization above 1 billion and turnover from 3% through 12%.
• Institutional trading share must rank in the top 10% of stocks.
• The article provides example formulas and code but no performance evidence.
• The institutional activity measure and code details require clear definitions and validation.

Tags

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