A-Share Screen Combining Intraday Range, Recent Highs, and Low Price

Summary

This post outlines an A-share screen for stocks with amplitude above 1, excluding ST-designated shares, selected before 10 a.m., priced below 12, and matching a named five-step limit-up approach. The sample Python implementation operationalizes the last condition as the current close equaling the highest close in a rolling five-day window. The stated rationale for the price ceiling is to narrow the selection to low-priced, active stocks, while the timing condition focuses on early-session selection.

The post warns that low-priced shares carry risks and that the screen omits considerations such as liquidity and sector direction. It suggests comparing additional indicators and considering volume and price behavior. The code supplies an example but no strategy performance, backtest, or clear definition of the five-step limit-up method beyond its rolling-high proxy. The rules should therefore be treated as a screening concept, not evidence of a reliable trading edge.

Key ideas

• The screen combines amplitude above 1%, non-ST status, selection before 10 a.m., and a price below 12.
• The sample code represents the named five-step limit-up condition as a rolling five-day closing high.
• The post identifies low-price risk and omitted factors such as liquidity and sector trends.
• It suggests adding other indicators and reviewing volume and price behavior.
• No backtest results or evidence of profitability are provided.

Tags

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