A-Share Screen for High Amplitude, 18.5-Yuan Price, and Non-STAR Stocks

Summary

This note describes a simple A-share stock screen based on daily price movement, closing price, and exchange segment. It selects stocks whose high-to-low range exceeds 1% of the high, whose closing price equals 18.5 yuan, and which are outside the STAR Market. The accompanying discussion frames these as volatility, price, and market-segment filters, and suggests adding valuation, financial, and technical measures for a broader assessment.

The document provides formula and Python examples, but the examples do not fully implement the stated rules consistently: the Python version checks a decline in lows over a recent window rather than the amplitude condition, and it filters out stocks using extra criteria. No backtest results or evidence of predictive value are presented. The note itself acknowledges that a fixed share-price threshold is a narrow selection criterion and that amplitude can be affected by speculative activity. The screen is therefore a basic filter, not a validated strategy or a complete risk assessment.

Key ideas

• The screen requires a price range exceeding 1% and a closing price of 18.5 yuan.
• It excludes stocks classified as belonging to the STAR Market.
• The note suggests combining the filters with company financials and additional technical measures.
• It gives no backtest evidence, and its Python example does not directly match the stated amplitude rule.

Tags

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