A Low-Price A-Share Screen With an Intraday Range Filter

Summary

The document presents a Chinese A-share stock screen that combines an intraday amplitude condition with a low closing-price threshold. The written rules are inconsistent: the headline refers to amplitude above 1 and a price of 18, the body specifies 18.5 alongside a price below 12, and the formula requires the close to equal 18.5 while also being below 12. Those price conditions cannot both hold, so the screen as shown would select no stocks.

The accompanying Python example adds market eligibility checks, recent price data, price above several moving averages, rising moving averages, a low closing price, and positive earnings before sorting by trading volume. These extra filters do not fully match the stated screen, and parts of the example appear incomplete or internally inconsistent. The document offers no backtest or performance evidence. It cautions that price-only screening overlooks financial condition, industry prospects, and management, and suggests treating low price as only one input in a broader selection process.

Key ideas

• The written price criteria conflict, including an equality condition that cannot coexist with the below-threshold rule.
• The Python example adds moving-average, market eligibility, and earnings filters beyond the stated amplitude and price screen.
• The document warns that low-price selection alone omits important company and industry considerations.
• No performance evidence is provided for the proposed screen.

Tags

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