A-Share Screen for High Amplitude and Elevated Trading Volume

Summary

This screen targets stocks with a daily high-low range of at least 1% of the low price, a volume ratio between 1.5 and 6 relative to a five-day volume average, and a stock code beginning with 60. The article interprets the range condition as a way to find more volatile stocks and the volume band as a way to focus on active trading without selecting the most extreme volume readings. Its formula reference also adds a positive money-flow style index condition as a basic filter.

The document provides screening logic and sample formula and Python snippets, but no backtest, measured outcomes, or validation of the selection rationale. It warns that the screen can overlook company fundamentals and may surface financially risky stocks; it suggests adding valuation or other fundamentals, volume-price indicators, and testing parameters on historical data. The code examples and written conditions are not fully aligned, so implementations need review before use.

Key ideas

• The screen combines a minimum daily range with a bounded volume ratio.
• It restricts candidates to stocks whose codes begin with 60.
• The formula reference adds a positive money-flow style index condition.
• The article warns that technical activity filters may select financially risky companies.
• It provides no performance evidence and recommends combining factors and checking implementations.

Tags

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