Screening Shanghai-Listed Stocks with Turnover and a KDJ Cross

Summary

This stock screen selects securities with turnover between 3% and 12%, a newly formed bullish KDJ crossover, and codes beginning with 60, thereby focusing on a subset of Shanghai-listed shares. The document frames the crossover as a short-term technical signal and turnover as an activity filter. It also includes example implementation references, though the described Python checks compare recent KDJ values and use a historical turnover quantile, which may not exactly match a crossover on the latest bar.

The post notes that the screen ignores company fundamentals, valuation, broader market conditions, and industry effects. It suggests adding measures such as return on equity or earnings growth and considering sector filters. No backtest, return series, benchmark comparison, transaction costs, or evidence of predictive performance is provided, so the screen should be read as a selection rule rather than a validated strategy. Its code and prose also appear to use somewhat different screening details.

Key ideas

• The screen combines a turnover range, a newly bullish KDJ signal, and a stock-code prefix filter.
• The code prefix restricts the eligible universe to Shanghai-listed shares.
• The post warns that the rules omit fundamentals, valuation, market regime, and sector context.
• It suggests adding fundamental and industry criteria for a broader selection process.
• No performance evidence is given, and the implementation details do not fully match the stated crossover rule.

Tags

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