A-Share Screen for High Amplitude and a Two-Day Price High
Summary
This post describes a basic A-share momentum screen that excludes Beijing-listed stocks and selects for daily amplitude above 1% and a closing price at the two-day high. It frames amplitude and market location as filters and the recent price high as a short-term trend signal. The article includes formula and Python examples; those examples also exclude certain board categories and add valuation and return-on-equity filters, although these details extend beyond the core stated screen.
No backtest results or performance measurements are reported. The post warns that short-term price action can be unstable and may ignore company fundamentals, industry conditions, and market risk. It recommends considering financial and industry measures, market trends, risk controls, and historical simulation. These are general suggestions, not tested evidence that the expanded selection method improves results.
Key ideas
- The core screen requires amplitude above 1%, excludes Beijing-listed stocks, and selects stocks closing at a two-day high.\nThe post frames the recent high as a short-term trend filter.\nIts code examples add board exclusions and financial filters beyond the core rule.\nNo backtest or performance evidence is reported.\nThe author recommends considering fundamentals, market conditions, and risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.