A-Share Screening with Turnover, DEA Direction, and Rising KDJ K

Summary

This A-share screening idea combines turnover between 3% and 12% with a rising DEA measure and an increasing KDJ K value. The intended logic is to select stocks with a specified level of trading activity while using indicator direction to seek strengthening price momentum. The note includes formula references and sample Python code for calculating moving averages and rolling high-low values.

It does not provide backtest results or evidence that the thresholds improve stock selection. The stated risks include missing smaller companies with potential and limiting the screen’s reach across market capitalizations. There is also some mismatch between the named indicators and the sample calculations, so the implementation should be checked before use. Suggested improvements include adding fundamentals and other market indicators such as RSI, but no weighting method or evaluation procedure is specified.

Key ideas

• The screen requires turnover between 3% and 12%, a rising DEA measure, and an increasing KDJ K value.
• The conditions are intended to combine trading activity with technical momentum.
• The note provides formulas and illustrative Python calculations but no performance results.
• It identifies missed smaller companies as a possible limitation and suggests adding fundamentals or other indicators.
• The sample calculations should be validated against the indicators described.

Tags

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