A-Share Screen for High Intraday Range, Volume, and Low Valuation

Summary

This post describes a screen for Shenzhen main-board stocks combining an intraday high-low range of at least 1%, relative volume between 1.5 and 6 times its five-day average, and positive price-to-earnings and price-to-book ratios capped at 29.01 and 3.11. The proposed rationale is to find stocks with meaningful price movement and elevated but not extreme trading activity, while applying valuation bounds. It includes example indicator formulas and a Python-style selection sketch.

The author notes that valuation cutoffs can exclude expensive companies with strong growth and that the filters omit important details about financial quality. Suggested refinements include adding measures such as return on equity and leverage, and adjusting valuation limits by sector or market. The post provides no backtest or performance evidence. The code sketch also appears inconsistent in its market-data source and per-row rolling-volume calculation, so its implementation would need review before use.

Key ideas

• The screen combines a minimum intraday range with relative volume bounded between stated limits.
• It restricts the universe to Shenzhen main-board stocks with positive, capped valuation ratios.
• The author identifies the risk that broad valuation limits may exclude strong growth companies.
• Additional financial quality measures and sector-specific thresholds are suggested as refinements.
• No evidence of historical performance is reported, and the example code may require correction.

Tags

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