A-Share Screen for Volatility, 10-Day Average Proximity, and Opening Gain

Summary

This note describes a short-term Chinese equity screen combining prior-session amplitude, the opening price relative to a 10-day moving average, and a pre-market gain threshold. It selects stocks with amplitude above 1%, opens within 5% of the moving average, and a stated 9:25 gain below 6%. The accompanying indicator and Python examples translate these conditions into filters, though their shifted price and volume references may not clearly represent the stated intraday timing.

The rationale is to find stocks with meaningful price movement while near a recent average and without an already-large pre-open rise. No backtest, performance data, or validation is provided. The article acknowledges that the filter uses few inputs and a narrow observation time, so later price action and other influences may undermine it. It suggests adding industry, style, fundamentals, and liquidity considerations, and evaluating alternative observation times. The screen is therefore a proposed selection heuristic rather than evidence of a profitable strategy.

Key ideas

• The screen requires prior price amplitude above 1%.
• It selects openings within 5% of the 10-day moving average.
• It filters for a stated 9:25 gain below 6%.
• The article provides no performance evidence and flags limited inputs and timing as risks.
• It recommends considering fundamentals, industry, market style, and liquidity.

Tags

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