A-Share Screen for Range, Relative Volume, and Turnover

Summary

This A-share stock-selection method combines daily price range, relative trading volume, turnover, and recent price behavior. Its stated filters require amplitude above 1, relative volume between 1.5 and 6, and turnover between 2% and 9%. The accompanying formula also includes a rising-price condition, a minimum volume threshold, and a requirement that the close meet or exceed prior closes over a lookback period. The prose frames the filters as a way to find active stocks without selecting the most extreme volume or turnover cases.

No backtest, return series, or evidence for the suggested risk and return characteristics is provided. The document notes that thresholds may need adjustment and that technical and trading-activity filters omit company fundamentals. It recommends considering additional indicators and fundamental factors. The formula and sample code appear inconsistent with the prose on the amplitude inequality, so the intended direction of that condition should be verified before implementation. The stated suitability for medium- or long-term investing is not supported with results.

Key ideas

• The stated screen uses amplitude, relative volume, and turnover ranges to select active A-shares.
• The formula adds rising-price, minimum-volume, and multi-session close conditions.
• The document gives no backtest evidence for its risk or return claims.
• It identifies missing fundamental analysis as a limitation.
• The prose and example code differ on the amplitude inequality, so implementation requires clarification.

Tags

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