A-Share Stock Screen Using Intraday Amplitude and Opening Gains

Summary

The document outlines a simple Chinese A-share screening rule: select stocks with a daily high-low amplitude above a threshold, exclude Beijing-listed shares, and require the indicated 9:25 a.m. gain to remain below a ceiling. It presents the screen as a way to find volatile stocks while avoiding names already showing a large early rise. It also discusses drawbacks: high amplitude can mean greater price risk, excluding an entire region may discard opportunities as well as risks, and a short-term price filter can lead to poor decisions. The author suggests adding other measures, making geographic risk classification more objective, and favoring more stable fluctuations when appropriate. Formula and Python examples are provided, but the stated opening-gain calculation uses an adjusted opening price, so the implementation may not match a literal 9:25 quote. No backtest results or performance evidence are supplied, and the post frames the logic as a starting point requiring adaptation.

Key ideas

• The screen combines a minimum high-low amplitude with a geographic exclusion and an opening-gain cap.
• The proposed filters aim to identify volatile stocks without selecting names with excessive early gains.
• High volatility can increase downside risk as well as the chance of large gains.
• Regional exclusions and short-term price conditions can introduce blind spots or unstable decisions.
• The document provides example implementations but gives no performance test to validate the screen.

Tags

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