Filtering Stocks by Turnover, KDJ Cross, and Relative Strength

Summary

This document presents an A-share stock screen based on a turnover ratio between stated bounds, a newly formed KDJ bullish cross, and a ranking by individual-stock heat. It interprets these filters as proxies for liquidity, price momentum, and investor attention. The accompanying discussion cautions that the approach relies heavily on price action and sentiment, and may miss industry, economic, policy, and company-specific risks. It suggests adding financial measures, other technical indicators, flow data, and risk controls.

The document provides formula and Python examples, but the code does not clearly reproduce the stated strategy. The formula ranks by a relative-strength measure rather than stock heat, and the Python sample also sorts on a derived field rather than a documented heat measure. Its KDJ comparison checks a change in values but does not clearly establish a crossover. No backtest results or evidence of profitability are included, so the screen should be treated as an unvalidated selection rule. The text also notes the possibility of false signals during volatile markets.

Key ideas

• The stated screen combines a bounded turnover ratio, a recent KDJ bullish cross, and a ranking by stock heat.
• The document treats turnover, KDJ, and heat as proxies for liquidity, price direction, and market attention.
• It warns that the screen omits fundamental, industry, economic, and policy considerations.
• The code examples appear to use relative strength in place of the stated heat ranking.
• No backtest or performance evidence is supplied.

Tags

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