Screening A-Shares for Range Expansion and a Fresh KDJ Cross

Summary

This note describes an A-share stock screen that combines a daily range filter, a newly formed KDJ crossover, and exclusion of stocks classified as belonging to the STAR Market. The range condition requires the high-low span to exceed 1% of the low. For the crossover, the example calculates stochastic values over a nine-period lookback and selects a fresh upward crossing of J above D. An industry-code comparison implements the market exclusion. The article provides sample formulas and Python logic for applying these conditions.

The stated rationale is to find volatile stocks with improving short-term momentum while avoiding a designated market segment. It also identifies risks from changing market conditions, unexpected declines or suspensions, and classification changes. Suggested adjustments include combining other indicators, setting exit levels, and monitoring classifications. These are screening ideas rather than demonstrated results: no backtest or evidence of improved returns is supplied. The claimed relationship between a crossover, market sentiment, and future gains should therefore be treated as a hypothesis, and implementation details such as indicator definitions and industry codes require verification.

Key ideas

• The screen combines a range threshold, a fresh upward KDJ crossover, and a market-segment exclusion.
• The example defines the crossover as J moving above D after previously being below it.
• The note suggests adding indicators and predefined exits to manage the screen’s risks.
• No backtest or performance evidence is provided, so the rationale remains unvalidated.

Tags

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