A-Share Screen Combining Volatility, Price Surges, and Volume Growth
Summary
This Chinese A-share screening proposal combines price movement with a measure described in the prose as today’s increase in holdings. The initial rule calls for an intraday range above 1%, a daily gain of at least 10% at some point in the last 25 trading days, and holdings growth above 5%. The expanded rule adds a relative-strength index between 30 and 70 and valuation ceilings for price-to-earnings and price-to-book ratios. Formula examples instead use a range-versus-average-true-range test and recent volume growth, alongside the relative-strength and valuation filters.
The author presents the criteria as a way to balance volatility, strong price action, and participation, while warning that short-term positioning signals can distract from company fundamentals or cause premature exits. Suggested refinements include considering fundamentals, industry conditions, other technical measures, and candlestick patterns. The document provides code-like examples but no backtest, performance data, or evidence that the filters improve selection. The prose and examples also differ in how they define the range and participation conditions.
Key ideas
- The proposed screen combines daily price range, a recent large gain, and a participation measure.
- An expanded version adds relative-strength and valuation filters.
- The formula examples use volume growth and an average-true-range comparison, which differ from the prose conditions.
- The author warns that short-term signals can overlook fundamentals or prompt premature selling.
- No performance evidence or backtest is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.