A-Share Screen Combining Volatility, Robotics Exposure, and Momentum Filters

Summary

This post describes a short-term A-share screening approach that combines daily price range, robotics-related business exposure, a circulating market-cap ceiling, and a positive recent return filter. It also proposes adding industry and valuation or profitability checks, including PE, PB, and ROE, and suggests more finely defined return windows. The accompanying examples show how to express the conditions in a screening formula and a Python-style data workflow, with selected stocks ranked by heat.

The document is an example of rule-based stock selection rather than a demonstrated strategy: it supplies no backtest, performance record, benchmark, or transaction-cost analysis. Its thresholds are inconsistent across the text: the heading suggests a narrower 10-day return range, while the body and formula specify a wider upper limit. The risk discussion acknowledges that technical and short-horizon filters may miss market conditions and company fundamentals; the proposed fundamentals are presented as possible refinements, not evidence of improved results. The code sketch also leaves implementation and data-definition details unclear.

Key ideas

• The screen combines a price-range condition with robotics concept membership and a circulating market-cap limit.
• A positive short-term return filter is intended to focus selection on stocks with recent upward movement.
• The post proposes adding industry, PE, PB, and ROE conditions to account for company characteristics.
• The stated 10-day return ceiling conflicts across the heading and body, so the intended threshold is unclear.
• No backtest or performance evidence is provided, and short-term screens can omit broader market and fundamental risks.

Tags

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