A-Share Screen Using Turnover, KDJ Crossovers, and Large-Order Flows

Summary

This note presents an A-share stock selection rule that combines turnover between 3% and 12%, a newly formed KDJ golden cross, and positive large-order net inflow in the afternoon. The author frames these conditions as proxies for liquidity, a possible upward trend, and investor sentiment. The note includes a technical indicator expression and a Python example that scans stock data, checks turnover and KDJ-related conditions, filters recent price changes, and compares net inflow with a rolling average.

The author warns that the rule omits company fundamentals and industry characteristics, and that sentiment-sensitive signals can favor particular periods or sectors. Proposed improvements include adding valuation, fundamental, industry, and technical factors with chosen weights and thresholds. No backtest or performance results are presented. The implementation details also do not clearly establish that its daily data fields measure specifically afternoon flows or a newly formed KDJ crossover, so those assumptions require verification before relying on the scan.

Key ideas

• The screen combines a stated turnover range, a KDJ golden cross, and positive large-order inflow.
• The conditions are intended to represent liquidity, trend, and market sentiment.
• The example code adds price-change and rolling net-inflow filters.
• The note cautions that fundamentals and industry factors are omitted and provides no performance evidence.
• The scan’s data fields may not precisely match the stated intraday and crossover conditions.

Tags

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