Screening Stocks with Volatility, a KDJ Crossover, and Auction Activity

Summary

This Chinese stock-screening recipe selects shares with daily amplitude above 1%, a newly formed KDJ crossover, and a ratio between 0.5 and 2 based on the prior day’s turnover rate and current auction activity relative to prior volume. The post includes example indicator-formula and Python snippets for expressing the filters. It frames amplitude as a volatility measure, the crossover as a possible momentum signal, and auction activity as an indication of market interest.

The article describes the resulting stocks as candidates for an investment pool, but provides no backtest, return data, or evidence that the rules have predictive value. It warns that the screen ignores business and financial risks, may be vulnerable to price manipulation, and could overfit changes in auction volume. It suggests adding fundamental measures and using statistical validation, while offering no validation results of its own.

Key ideas

• The screen requires daily price amplitude above 1% and a newly formed KDJ crossover.
• It combines prior turnover with current auction activity relative to previous volume, requiring a value between 0.5 and 2.
• The post offers formula and Python examples but does not report backtest results.
• The author warns that the screen omits fundamental risks and may be affected by manipulation or overfitting.
• The proposed improvements include adding fundamental measures and validating the rules statistically.

Tags

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