A Stock Screen Combining Turnover, Flow, KDJ, and Trend Filters

Summary

This proposed stock screen combines turnover between 3% and 12% with a condition involving the product of daily price change and large-order net flow, a rising K value from the KDJ indicator, and additional trend and market-cap filters in the formula examples. The article describes rising KDJ K as a sign of upward momentum and presents turnover and order flow as measures of activity and trading pressure. Its final prose summary gives a narrower set of conditions than the code, which also includes moving-average alignment, a market-cap range, and an A-share universe restriction.

The article acknowledges that the screen relies on technical and flow data, omitting company fundamentals and broader market conditions. It also notes that KDJ can lag and may identify a move after much of it has occurred. The supplied code is an implementation reference, not performance evidence: no backtest results, transaction costs, or rules for position sizing and exits are provided. The screen is therefore best understood as a candidate-selection example requiring independent validation.

Key ideas

• The proposed screen uses a turnover band, a price-change and large-order-flow condition, and rising KDJ K.
• The formula examples add moving-average alignment, a market-cap range, and an A-share universe filter.
• The article warns that KDJ may lag and that technical signals can miss changes in fundamentals or market conditions.
• No performance evidence, transaction-cost analysis, or exit and sizing rules are supplied.

Tags

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