A-Share Reversal Screen Using Range and Prior-Day Breakout

Summary

This proposed A-share screen looks for stocks with daily amplitude above 1, no limit-up move on the prior day, and a current session described as a reversal or engulfing setup. The accompanying explanation associates the range filter with higher volatility and treats the gap beyond the prior session’s high or low as a possible reversal signal. A Python example illustrates filtering on recent price data, but the article gives no indicator formula and does not report test results.

The source cautions that relying on price movement and reversal signals may miss fundamental and industry influences, and that reversal-focused selections can carry risk. It suggests adding company and sector analysis, including profitability, growth, balance-sheet condition, and ownership, then considering diversification. The written definition and sample conditions do not clearly align on the precise reversal pattern, so implementation would require clarifying that rule before evaluation.

Key ideas

• The screen combines a daily amplitude threshold with exclusion of prior-day limit-up stocks.
• A price move beyond the previous session’s high or low is described as a potential reversal signal.
• The sample implementation applies a positive daily return and a gap condition to select candidates.
• The article advises adding fundamental and industry analysis and using a diversified portfolio.
• The reversal definition and sample conditions are not fully consistent, and no performance evidence is supplied.

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