A-Share Screening with Turnover, KDJ Crossovers, and Limit-Ups

Summary

This Chinese A-share screening example combines three conditions: turnover between 3% and 12%, a newly formed KDJ bullish crossover, and more than two limit-up days in the prior ten days. The article interprets turnover as a liquidity filter, the crossover as a trend signal, and repeated limit-ups as evidence of market enthusiasm. It provides indicator logic and sample implementation references, but reports no backtest, returns, or validation of the signals.

The author notes that the screen ignores company and industry characteristics, so it may select highly speculative stocks with weak longer-term prospects. Suggested refinements include adding industry, company-quality, and financial measures such as profit growth or return on equity. The criteria are presented as a stock-selection rule, not a complete portfolio or trading system; the document does not specify position sizing, exits, transaction costs, or how to handle market regime changes.

Key ideas

• The screen requires turnover between 3% and 12%.\nA newly formed KDJ golden cross is used as a technical trend condition.\nMore than two limit-up sessions in ten days serves as a proxy for market enthusiasm.\nThe rule omits company fundamentals and industry effects, which may expose it to speculative, high-risk stocks.\nAdding financial and industry filters is proposed, but no evidence is provided that these changes improve performance.

Tags

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