Selecting Chinese Equities by Turnover, KDJ Rise, and Auction Activity

Summary

This stock-selection rule first limits candidates to those with a turnover rate between 3% and 12%, then keeps stocks whose KDJ K value has risen from the prior observation. It ranks the remaining names by the day’s auction amount and selects the top five. The article provides both a formula-style reference and a Python example, though the examples describe the auction ranking using first-level bid volume or bid inflow.

The author says the filters combine trading activity, a technical indicator, and market attention. The article also cautions that auction ranking may favor short-lived themes, while a rising KDJ K value alone is an incomplete view of technical conditions. It suggests adding fundamental measures and longer-term trend indicators. No backtest results or evidence of profitability are reported, and the different auction-volume descriptions leave implementation details to verify.

Key ideas

• The screen applies a turnover band and requires the KDJ K value to increase.
• Eligible stocks are ranked by auction activity, with five selected.
• The examples associate auction ranking with bid volume or first-level bid inflow.
• The article warns that the filters can overemphasize short-term attention and omit fundamentals.
• No performance results are provided.

Tags

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