Screening Stocks with Turnover, KDJ Momentum, and Opening Gains

Summary

The document describes a stock selection rule combining three conditions: turnover must fall between 3% and 12%, the K value of the KDJ indicator must be rising, and the opening auction gain must be between -2% and 5%. It provides equivalent screening logic in a formula-style expression and a Python example that groups observations by stock, checks average turnover, then uses the latest auction gain and change in KDJ K value to decide whether to include the stock.

The rationale is that turnover constrains trading activity, rising KDJ K is used as a directional technical signal, and the bounded auction move filters extreme opening changes. The text warns that the indicator relies on historical prices and may lag, while a narrow auction range may behave differently across market conditions. It suggests incorporating fundamentals and adjusting the auction thresholds to context, but gives no backtest results or performance evidence. The Python example also depends on the data being ordered correctly and containing adequate observations for the latest two K values.

Key ideas

• The screen requires turnover between 3% and 12%, a rising KDJ K value, and an opening auction gain from -2% to 5%.
• The example implements the rule using average turnover and the latest auction and indicator observations.
• The document identifies lagging technical signals and market-dependent auction moves as potential sources of error.
• It proposes adding fundamental filters and adapting the auction range, but does not report empirical results.

Tags

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