A-Share Screening with Turnover, KDJ Crossovers, and Limit-Up History

Summary

This document describes an A-share stock screen combining a turnover-rate range of 3% to 12%, a newly formed KDJ golden cross, and at least two limit-up events within 500 days. It frames turnover as a liquidity filter, the crossover as a trend signal, and prior limit-ups as evidence of market attention. The post also sketches ways to broaden the screen, including valuation, company fundamentals, industry information, and risk controls.

The document provides formula and Python examples as implementation references, but no performance results or backtest evidence. The code’s calculations may not precisely match the stated rules: for example, its turnover filter uses a historical quantile, and its KDJ condition compares recent values rather than explicitly testing a crossover. The author warns that the screen omits fundamental and industry risks and may be overly dependent on market sentiment, trading activity, and the sample period. These filters alone do not establish that a stock will continue rising.

Key ideas

• The screen combines turnover between 3% and 12% with a recent KDJ golden cross.
• It also requires at least two limit-up events during the prior 500 days.
• The post interprets turnover as a liquidity proxy and past limit-ups as a sign of market attention.
• It suggests adding valuation, fundamentals, industry filters, and risk controls.
• No evidence of strategy performance is presented, and the sample code may not exactly implement the stated rules.

Tags

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