A-Share Screen for High Volatility and Positive Short-Term Momentum

Summary

This stock screen combines three conditions: the price range exceeds an ATR-based threshold, the stock has recorded at least one daily gain of 10% or more in the past 25 trading days, and its 10-day return is above zero but below 35%. The article provides example implementations for screening and ranking candidates by trading volume. It frames the 10-day return as a short-term trend measure, not evidence of durable company performance.

The author cautions that relying on a few recent price signals can overfit historical behavior and omit fundamental or valuation risks. Suggested improvements include combining technical signals with broader company and market analysis. The document gives no backtest, performance statistics, or evidence that the rules are profitable; its code examples are references, and the Python excerpt includes unfinished helper functions. The screen is therefore best understood as a candidate-selection recipe requiring independent validation, rather than a tested trading system.

Key ideas

• The screen requires a price range greater than a 20-period ATR.
• It looks for at least one daily gain of 10% or more within the last 25 trading days.
• The stock's 10-day return must be positive and below 35%.
• The article suggests adding fundamental analysis because short-term price filters do not capture company quality.
• No backtest or performance evidence is provided.

Tags

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