Stock Screening with Turnover, KDJ Momentum, and Float Market Value

Summary

This article proposes a Chinese equity selection screen combining trading activity, a short-term technical signal, and company size. It selects stocks with turnover between 3% and 12%, a rising KDJ K value, and a circulating market value between 5 billion and 10 billion yuan. The article offers both indicator-formula and Python-style examples, with the latter checking average turnover and the latest KDJ and market-value observations.

The author frames the screen as a way to combine technical conditions with a rough size filter, then notes that technical and fundamental signals may diverge and that a broad market-value band can misclassify companies across sectors and market environments. Suggested refinements include adding valuation and earnings-growth measures and tailoring size thresholds by industry and conditions. No historical returns, benchmark comparison, transaction-cost analysis, or out-of-sample evidence is supplied, so the screen is a rule proposal rather than a validated strategy. Implementation should also clarify how turnover is averaged and ensure the indicator settings and units match the intended data source.

Key ideas

• The screen requires turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan.
• A rising KDJ K value serves as the technical momentum condition.
• The examples apply turnover to an average and use the latest observations for other filters.
• The author identifies sector differences and technical-fundamental divergence as limitations.
• The article provides no performance evidence or transaction-cost analysis.

Tags

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