A-Share Screening with Turnover, a New KDJ Cross, and Auction Returns

Summary

This document describes an A-share stock screen using three conditions: turnover between 3% and 12%, a newly formed KDJ golden cross, and an auction return above -2% but below 5%. It presents the turnover band as a liquidity filter, the KDJ signal as a way to identify a possible trend change, and the pre-open move as an indication of changing market sentiment. It also includes example formula and Python implementations, though the examples do not establish that the screen has been tested consistently or define every indicator calculation in detail.

The stated limitations are that the screen omits company fundamentals, auction-period sentiment can be unstable, and the turnover range may leave few candidates. The author suggests incorporating financial, industry, sentiment, ownership, and fund-flow information, potentially with machine-learning analysis, and adjusting the filters. No performance results or evidence of predictive advantage are provided, so the conditions should be understood as a screening proposal rather than a validated trading strategy.

Key ideas

• The screen requires turnover between 3% and 12%, a newly formed KDJ golden cross, and an auction return between -2% and 5%.
• Turnover is used as a liquidity filter, while the KDJ cross and auction move represent technical and sentiment signals.
• The document warns that fundamentals are omitted and pre-open sentiment can be unstable.
• It provides example formula and Python implementations but no performance evidence.

Tags

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