Chinese Stock Screen Using KDJ Crossovers, Price Range, and Turnover

Summary

This Chinese A-share screening rule combines three conditions: daily high-to-low movement above 1%, a newly formed KDJ crossover, and prior-day actual turnover between 3% and 28%. The article interprets larger daily ranges as higher volatility, the crossover as a possible shift in momentum, and turnover as evidence of liquidity and trading activity. It includes indicator-formula and Python examples intended to calculate the signal.

The article offers no backtest, benchmark, or performance evidence. It notes that the rule omits company fundamentals and that turnover can be affected by market sentiment; it suggests adding fundamental measures and considering sector conditions. The sample calculations may not match the stated logic exactly: the Python code’s KDJ calculation uses rolling averages rather than the smoothing shown in the formula, and its turnover calculation should be checked against the data units and intended prior-day observation. The rule is therefore best understood as a candidate screen whose signal definitions need validation before use.

Key ideas

• The screen requires a daily high-to-low range above 1%, a fresh KDJ crossover, and prior-day turnover from 3% to 28%.
• The article treats the crossover as a potential momentum change rather than a guaranteed rise.
• It identifies missing fundamental analysis and sentiment-sensitive turnover as limitations.
• The code examples differ in their calculation details and should be validated against the intended signal.

Tags

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