A-Share Screening with Turnover, KDJ Crossovers, and Auction Activity

Summary

This stock selection rule combines a daily turnover range of 3% to 12%, a newly formed KDJ golden cross, and prior-day auction turnover above 0.26. The article frames the turnover range as a way to select active stocks, the KDJ crossover as a momentum or trend condition, and auction turnover as a measure of market participation. It also includes formula and Python examples, though the code’s calculations do not consistently match the stated rule: for example, the Python example uses turnover quantiles and moving-average filters rather than directly implementing every described condition.

The document offers no backtest results or evidence that the screen generates returns. It warns that technical and sentiment inputs may miss changes in price behavior, and suggests adding fundamental data or other analytical methods. The rule is therefore best treated as a screening hypothesis requiring careful data checks, implementation validation, and out-of-sample testing before use.

Key ideas

• The stated screen requires turnover between 3% and 12%, a KDJ golden cross, and prior-day auction turnover above 0.26.
• The article interprets the conditions as filters for activity, momentum, and market participation.
• The example code does not fully match the stated screening rule.
• No backtest evidence is provided, and the article notes that technical and sentiment signals can lag or misclassify stocks.
• Fundamental inputs and additional analysis are suggested as possible extensions.

Tags

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