Chinese Stock Screening with Amplitude, Auction Gains, and Rising KDJ

Summary

This note describes a short-term Chinese equity screen combining amplitude above 1, a 9:25 price gain below 6%, and a positive change in the KDJ K value. The stated rationale is to find volatile stocks showing improving technical momentum, with stable fundamentals and industry conditions proposed as additional filters. It also gives an indicator formula and a Python example intended to apply the conditions to stock data.

The document provides no backtest, performance results, or evidence that the screen predicts returns. It warns that technical signals can be inaccurate and that the approach omits financial condition unless fundamentals are added. The examples have implementation limitations: the indicator formula compares the prior close with the current close despite the 9:25 condition, and the Python example uses data fields and filters that do not clearly match the stated logic. Treat the screen as a hypothesis requiring careful data validation and testing.

Key ideas

• The screen combines amplitude above 1 with a 9:25 gain below 6%.
• A positive change in the KDJ K value is used as a short-term momentum condition.
• The note recommends evaluating fundamentals and industry conditions alongside technical signals.
• No empirical performance evidence is presented, and the sample implementations may not faithfully encode the stated rules.

Tags

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