Stock Screening with Amplitude, Turnover-Weighted Auction Volume, and KDJ

Summary

This Chinese stock-selection proposal screens for amplitude above 1, a turnover-based measure between 0.5 and 2, and a K value below 20. The turnover measure is described as yesterday’s turnover rate multiplied by today’s auction volume divided by yesterday’s volume. The document also gives formulas for amplitude, KDJ, and the auction-volume ratio, alongside example selection logic.

The rationale combines price fluctuation, liquidity, and a short-term technical condition to identify stocks for short-horizon consideration. It offers no backtest, sample results, or evidence that the filters improve returns or reduce risk. The article itself cautions that the approach emphasizes short-term movement, omits fundamentals, and uses few indicators. It suggests adding fundamental and financial measures, other indicators, and broader market context. The example implementation’s data fields and turnover calculation do not clearly match the prose definition, so the operational rule may need clarification before use.

Key ideas

• The proposed screen combines amplitude above 1, a turnover and auction-volume measure from 0.5 to 2, and K below 20.
• The rationale is to combine price fluctuation, liquidity, and a short-term technical measure.
• The article provides indicator formulas and sample selection logic but no performance evaluation.
• It warns that the method is short-term, omits fundamentals, and relies on few signals.
• The sample code’s turnover calculation is not clearly aligned with the stated rule.

Tags

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