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I've remapped CapsLock key to work like this :

CapsLock + J = Left arrow key
CapsLock + K = Down arrow key

I've used xmodmap (as explained in Mapping Super+hjkl to arrow keys under X).

The problem is that I can't seem to be able to make following key combinations work :

Expected: CapsLock + Shift + J = Shift + Left arrow key
Actual: CapsLock + Shift + J = does nothing.

Do you have any ideas how to make it work? Thanks.

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Please post your xmodmap changes. – harrymc Oct 7 '13 at 7:27
I am not a linux person but, probably xmodmap cannot detect CapsLock+J key sequence because you have held the Shift key down. And I think it wont be just shift. Test any key on keyboard say ctrl, alt, pgdn etc.. – tumchaaditya Oct 10 '13 at 7:37

Not a direct answer, but the best way to approach this would be to see what events are being fired when you press the combinations you're interested in. To do this, install xev and try out the various combinations.

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Your problem may be that capslock and shift are nearly the same in your keyboard hardware, it may be that your capslock key just permanently triggers the shift key.

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You could probably check this by pressing Shift + J/ Shift + K, and seeing if they trigger your remapped keys Caps Lock key functions. – Jaymz May 17 '11 at 8:11
Shift + J / Shift + K is not affected by my remapping. – varad May 24 '11 at 8:54

If I have understood well how it works, try in the keyboard specification file to explicit say what you want for example for he shifted ation, for example

key { [ j, J, Down, Next ] };
key { [ k, K, Up, Prior ] }; 

to have PageDn and PageUp --- I cannot chek it now, but should work.

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