A-Share Screen for Volatility, Positive Large-Order Flow, and Opening Gaps

Summary

This A-share stock-selection rule looks for daily amplitude above one, large-order net volume above 0.05 for at least three consecutive days, current volume above 10,000 lots, and an opening price higher than the previous close. The document frames these filters as a way to combine price movement, trading activity, and a positive opening gap in order to identify active stocks.

It outlines calculations for amplitude and rolling net-volume activity and provides example filtering logic. However, the article does not present backtest results or evidence of predictive value. It flags possible overfitting, look-ahead or future-function problems, ambiguity in defining a high open, and the possibility that many simultaneous conditions leave very few candidates. The stated conditions also appear inconsistently in places, so their precise definitions and data timing should be checked before implementation.

Key ideas

• The screen combines amplitude, large-order net volume, current volume, and a positive opening gap.
• It requires net volume above 0.05 across a rolling three-day period and volume above 10,000 lots.
• The article cautions that multiple filters may produce few candidates and may be overfit.
• The written description and example logic contain definitional inconsistencies that need resolution.
• No 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.