A-Share Stock Screening with Range, KDJ Cross, and Institutional Flow
Summary
The document outlines a China A-share screening rule that combines daily price range, a newly formed KDJ crossover, and a proxy for institutional buying. Stocks enter a candidate pool when the high-to-low range exceeds 1%, the J line crosses above D, and institutional flow conditions are met. The examples also require the five-day moving average to exceed the ten-day average and the close to be near the day’s high. It provides formula and Python examples to illustrate the intended conditions.
The article itself flags important limitations: the screen omits company fundamentals, and institutional buying data may be unreliable or misleading. Its code examples also depend on external data fields and implementations whose definitions and availability are not established in the text. No backtest, risk controls, or evidence of returns is supplied, so the combined conditions should be treated as a screening concept rather than a validated strategy.
Key ideas
- The screen combines a daily range threshold, a fresh KDJ J-over-D crossover, and an institutional-flow proxy.
- It adds moving-average alignment and a close-near-high condition to the flow filter.
- The article warns that the method omits company fundamentals and that institutional activity signals may be unreliable.
- Formula and Python examples illustrate the screen, but the source supplies no backtest or return evidence.
- Data definitions and external field availability may affect whether the examples reproduce the intended logic.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.