A-Share Screen Using Turnover, KDJ Crossovers, and Order-Book Volume

Summary

This stock selection rule screens Chinese A-shares using three conditions: turnover between 3% and 12%, a newly formed KDJ bullish crossover, and first-level bid volume greater than first-level ask volume. The article presents the rule as a way to combine trading activity, a technical signal, and a simple measure of near-term buying interest. It also gives example formula and Python-style implementation references for applying the screen across stocks.

The article cautions that the screen omits company fundamentals and industry context, and that its simple inputs may select volatile, uncertain stocks. It suggests adding financial and sector measures and evaluating the rule across multiple periods. No backtest results or evidence of profitability are reported, and the example implementation’s data definitions and crossover logic would need verification before use.

Key ideas

• The screen requires turnover between 3% and 12%.
• It looks for a newly formed bullish KDJ crossover.
• It compares best bid volume with best ask volume as a buying-interest filter.
• The article recommends adding fundamental and industry checks.
• It advises testing across multiple periods but reports no performance results.

Tags

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