A-Share Momentum Screen Using Intraday Range and WR2

Summary

This Chinese stock-selection note proposes screening Shanghai-listed shares (codes beginning with 60) for daily range above 1% of the previous close and a “main uptrend start” condition based on the WR2 indicator. The indicator rule checks whether WR2 was below 20 on the prior day and is rising relative to two sessions earlier. The supplied formula adds a condition involving an upper-pattern signal or a daily gain above 5%; the Python example instead requires the gain threshold, so the implementations are not fully consistent.

The note explains that a large range signals higher volatility and that the setup aims to identify stocks already at relatively high levels with continued upside potential. It warns that short-term price focus can overlook fundamentals, that the setup may miss rebounds from lower levels, and that the trend-start judgment is subjective. It suggests adding financial and operating factors and checking technical signals across multiple timeframes. No backtest, performance evidence, or validation of the screen is provided, so the stated logic should be treated as a screening idea rather than an established strategy.

Key ideas

• The screen combines a daily range threshold with Shanghai-listed stock codes beginning with 60.
• The proposed momentum condition uses WR2, requiring a low prior reading and an increase relative to two sessions earlier.
• The formula and Python example differ in how they apply the additional daily-gain condition.
• The author cautions that a short-term technical screen can overlook fundamentals and may miss low-level rebounds.
• The note offers no performance results or testing evidence.

Tags

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