A-Share Screening with Turnover, KDJ Crossovers, and Auction Orders
Summary
This A-share screening idea combines a turnover-rate band of 3% to 12%, a newly formed KDJ golden cross, and evidence of large buy orders during the opening auction. The stated threshold for combined large and extra-large buy volume is above 7 million. The article presents these filters as a way to combine liquidity, a technical entry signal, and trading activity, and includes sample indicator and Python logic.
The author cautions that the screen relies heavily on technical and trading data while omitting company fundamentals, changing market conditions, and external risks. Suggested improvements include adding industry fund flows, financial metrics, and policy factors, though the final stated screen does not specify operational rules for incorporating them. No backtest, return data, or evidence of effectiveness is supplied, and the sample code's data fields and calculations may not exactly match the described conditions.
Key ideas
- The screen selects stocks with turnover between 3% and 12% and a newly formed KDJ golden cross.
- It also looks for large and extra-large buying activity during the opening auction above the stated volume threshold.
- The article frames the filters as a combination of liquidity, technical timing, and order activity.
- Fundamentals, industry conditions, policy changes, and market risks are not fully represented.
- The document provides no backtest or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.