A-Share Screen for High Amplitude, Volume, and a Ten-Day Average

Summary

This document describes a short-term A-share screening rule based on price amplitude above 1, current volume above 10,000 lots, a higher opening price, and an opening price near the ten-day moving average. It explains the intended rationale: amplitude and volume indicate activity, while a higher open near the average may signal an opportunity. The article also gives a ten-day average formula and a sample Python implementation of parts of the screen.

The proposed criteria focus on short-term price action and technical shape. The article cautions that this narrow approach can miss company fundamentals and longer-term trends, and that short-term signals can lead to losses. It suggests adding indicators such as relative strength, moving averages, and capital-flow measures. No backtest, performance evidence, or precise definition of “near” is provided beyond the sample code's tolerance, so the screen should be treated as an illustrative idea rather than a validated strategy.

Key ideas

• The screen combines amplitude, trading volume, opening direction, and proximity to a ten-day moving average.
• The stated thresholds include amplitude above 1 and current volume above 10,000 lots.
• The article frames the criteria as a short-term technical screen, not a fundamental valuation method.
• It warns that narrow technical filters can overlook fundamentals and longer-term trends.
• The article suggests supplementing the screen with additional technical and capital-flow measures.

Tags

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