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

Summary

This post describes an A-share stock screen using turnover between 3% and 12%, a newly formed KDJ golden cross, and a comparison involving the previous day’s turnover, current opening-auction volume, and the previous day’s trading volume. The stated composite volume condition is intended to select stocks whose auction activity is neither too small nor too large relative to prior trading.

The author frames the conditions as filters for liquidity, a possible upward technical signal, and pre-open activity. The post flags that auction-volume relationships may not reliably track price behavior or broader market conditions, and that the screen omits fundamentals and industry characteristics. It recommends considering valuation, financial data, sector context, and other technical signals. Formula and Python examples are included, but the Python implementation appears inconsistent with the stated formula: it uses price and volume in its comparison rather than the described turnover measure, and its KDJ check does not clearly test a fresh crossover. No backtest or performance evidence is provided.

Key ideas

• The screen requires turnover between 3% and 12% and a newly formed KDJ golden cross.
• It uses opening-auction activity relative to previous trading volume as an additional filter.
• The post presents the rules as liquidity, technical-trend, and market-activity conditions.
• The author notes that the auction-volume measure may not reliably reflect price or market conditions.
• The code example does not appear to implement the stated volume and crossover tests consistently, and no results are reported.

Tags

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