A-Share Breakout Screen Using Amplitude, Float Size, and Bollinger Bands

Summary

This A-share stock screen combines daily amplitude above 1%, tradable share count no greater than 5.5 billion, and a closing price between the middle and upper Bollinger Bands. The article presents the band position as a way to identify stocks in an upward trend, while the amplitude condition targets more volatile names and the float-size limit focuses on smaller companies. Its example implementations calculate the Bollinger Bands over 20 periods and suggest ranking qualifying stocks by turnover when selecting a subset.

The document is a screening recipe rather than a demonstrated strategy: it reports no performance results, transaction costs, holding period, or sell rules. It cautions that the screen ignores company fundamentals and can be affected by market-wide moves or company-specific events. It may also miss stable dividend or growth stocks because it favors rising prices. The examples should be checked carefully before use, since formulas and code conventions can differ across data platforms and the stated criteria do not by themselves establish a persistent edge.

Key ideas

• The screen requires amplitude above 1%, a float size at or below the stated limit, and a close between the middle and upper Bollinger Bands.
• The article interprets the Bollinger Band condition as evidence of an upward trend and the amplitude threshold as a volatility filter.
• Qualifying stocks may be ranked by turnover when the screen returns more names than desired.
• The selection rules omit fundamentals and can be vulnerable to broad market moves or company-specific events.
• No backtest evidence, holding rules, or risk controls are supplied to establish strategy performance.

Tags

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