A-Share Screen Using Turnover, KDJ Crossovers, and Daily Returns

Summary

This stock-selection screen combines a turnover filter, a newly formed KDJ golden cross, and a daily return band. It selects A-share stocks with turnover from 3% through 12%, a KDJ crossover, and a price change below 2.6% but above negative 5%. The stated rationale is to favor stocks with some trading activity and upward technical confirmation while filtering out very large daily moves. The document includes a formula reference and a Python example that scans stock data and ranks selected names by last price.

The article warns that the screen omits company fundamentals and that its return thresholds may stop working as market conditions change. It suggests adding financial, industry, sentiment, institutional-holding, or capital-flow information, and mentions machine learning as a possible way to combine inputs. No backtest methodology, performance results, transaction costs, or out-of-sample evidence is supplied. The sample code’s data fields and crossover approximation may not reproduce the stated rules exactly, so implementation and data quality require independent checking.

Key ideas

• The screen requires turnover between 3% and 12%, inclusive.
• It looks for a newly formed KDJ golden cross as a technical entry filter.
• It restricts the daily price change to between negative 5% and positive 2.6%.
• The stated rationale combines liquidity, technical direction, and avoidance of unusually large daily moves.
• The document identifies missing fundamentals and potentially unstable thresholds as limitations, but reports no backtest results.

Tags

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