Chinese Stock Screening with Turnover, Order Flow, and Rising KDJ

Summary

This Chinese stock-selection example combines a turnover-rate band with an order-flow ratio and a rising KDJ stochastic value. The stated screen looks for turnover between 3% and 12%, outside volume more than 1.3 times inside volume, and a positive one-period change in the KDJ K value. A SQL-style formula and a Python sketch illustrate how those conditions might be applied to stock data; the Python example also narrows the universe by code prefix.

The rationale is to combine trading activity and liquidity with a short-term technical momentum signal. The post notes that KDJ changes reflect past price behavior and do not capture liquidity, volume, company quality, or future direction completely, leaving room for selection bias. It suggests adding indicators such as MACD or RSI and fundamental measures such as ROE, or exploring machine-learning methods. No backtest, return series, benchmark comparison, or transaction-cost analysis is provided, so the rules are an illustrative screen rather than demonstrated evidence of a profitable strategy.

Key ideas

• The screen requires turnover between 3% and 12% and outside volume above 1.3 times inside volume.
• A positive change in the KDJ K value supplies a short-term technical momentum condition.
• The article presents both a query-style formulation and a Python sketch, including an additional stock-code filter in the latter.
• The author warns that KDJ and trading activity alone do not capture company quality or future performance.
• No empirical performance results are reported, and suggested additions include other indicators and fundamentals.

Tags

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