A-Share Screen Combining Daily Range and Weekly Direction
Summary
The document describes a Chinese A-share selection rule that looks for stocks with an intraday high-low range above 1%, excludes Beijing-listed shares, and seeks positive weekly price movement. It gives illustrative formula and Python-style examples, then suggests ranking selected stocks by circulating market value. The discussion also recommends adding valuation, growth, balance-sheet, and industry context, along with profit-taking and stop-loss rules.
No backtest, benchmark comparison, or performance evidence is provided. The examples do not fully implement the stated weekly rule: the described price-change check appears to compare adjacent closes, and the rolling volume condition is not itself a weekly red-candle test. The document also notes that range and directional indicators alone omit fundamentals and may select stocks after prices have already risen. The screen should therefore be treated as an informal starting point, with definitions, data frequency, and risk controls requiring further specification.
Key ideas
- The proposed screen combines a daily range threshold, a regional exclusion, and a positive-direction condition described as a weekly red candle.
- The examples rank qualifying shares by circulating market value after filtering.
- The document recommends adding valuation, growth, leverage, and industry measures for broader assessment.
- A positive candle can reflect an already-advanced move, so the screen may buy into strength late.
- The document supplies no tested performance results, and its code examples do not clearly implement the stated weekly condition.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.