A-Share Screen Using Turnover, KDJ Crossovers, and the Five-Day Average

Summary

This stock-selection screen combines liquidity, momentum, and a short-term trend filter for Chinese A-shares. It selects stocks with turnover between 3% and 12%, a newly formed KDJ bullish crossover, and a closing price above its five-day moving average. The final stated rules also require market value above one billion yuan. The article supplies example formula and Python-style implementations, although its sample turnover check uses a historical quantile and its KDJ comparison may not precisely encode a fresh crossover.

The rationale is that turnover can help filter for tradable stocks, the KDJ crossover may identify an upward signal, and price above the short moving average may indicate near-term strength. The article cautions that the screen omits company fundamentals and macroeconomic conditions, and that turnover alone does not capture trading volume or company size. Price above a short average does not establish a lasting uptrend. It suggests adding fundamental growth measures, other indicators, and additional liquidity measures, but provides no backtest results demonstrating that these changes improve performance.

Key ideas

• The screen combines a turnover range, a fresh bullish KDJ crossover, and price above the five-day moving average.
• The final rules add a minimum market value threshold of one billion yuan.
• The proposed rationale is to combine liquidity screening with momentum and a short-term trend condition.
• The article notes that the rules omit fundamentals and macroeconomic factors, and that a short moving-average condition does not ensure a sustained trend.
• The example implementation may differ from the stated fresh-crossover rule because it uses a simple comparison between consecutive KDJ values.

Tags

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