A Stock Screen Combining Turnover, KDJ Momentum, and Order Flow

Summary

The document describes a Chinese equity screen that combines a turnover-rate range of 3% to 12%, a rising KDJ K line, and a comparison of outside to inside trading volume. Its stated rationale is to find stocks with upward technical movement and buying pressure. It provides both a platform formula reference and a Python example for selecting stocks from grouped trading data.

The examples are not fully consistent: the prose says the outside-to-inside ratio should exceed 1.3, while the formula and Python condition use an inequality that implies the outside volume should be no more than 1.3 times inside volume. The document also cautions that the screen omits fundamentals and industry context, and that outside/inside volume data may be inaccurate. It offers no backtest, performance evidence, or transaction-cost analysis, so the criteria should be treated as an illustrative screen rather than a validated strategy.

Key ideas

• The screen restricts candidate stocks to a stated turnover-rate band.
• It uses a rising KDJ K value as a short-term technical condition.
• It includes outside-versus-inside volume as a proxy for trading pressure.
• The written ratio rule conflicts with the inequalities shown in the formula and code.
• The document advises adding fundamental and industry context and checking data quality.

Tags

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