A-Share Screening with Turnover, a Fresh KDJ Cross, and Auction Net Buying

Summary

This stock-screening idea combines three conditions: turnover between 3% and 12%, a newly formed KDJ bullish cross, and positive net buying by major participants during the auction. The article frames turnover as a liquidity filter, the KDJ cross as a directional signal, and auction net buying as an indication of capital flow. It includes references to formula and Python implementations, though the Python example uses a recent turnover quantile and a simplified comparison of KDJ values, which may not exactly match the stated screening logic.

The post identifies important gaps: it does not account for company fundamentals or macroeconomic influences, and auction-period buying alone may not reflect flows through the rest of the session. It suggests adding other technical and fundamental measures, testing different lookback periods, and incorporating broader flow, sentiment, and liquidity data. No backtest results or evidence of predictive performance are presented, so the rules are a screening hypothesis rather than a validated strategy.

Key ideas

• The screen requires turnover from 3% through 12%, a newly formed KDJ bullish cross, and positive auction net buying.
• Turnover is used as a liquidity filter, while KDJ and auction flow represent directional and flow signals.
• The article’s code example may not implement the stated conditions identically, particularly for the turnover and cross tests.
• The screen omits fundamentals, macroeconomic context, and capital flows during the rest of the session.
• The post recommends combining additional indicators and evaluating alternative time periods, but reports no performance tests.

Tags

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