A-Share Screen for Volatility, Price, and a Small Opening Gap
Summary
This note describes a short-term A-share stock screen using three conditions: daily high-to-low amplitude above 1%, a closing price of 18.5 yuan, and an opening gain below 6% relative to the previous close. It suggests sorting qualifying stocks by trading value and includes indicator and Python examples intended to implement the filter. The rationale is to find shares with some price movement and a limited opening rise, which the author presents as potentially suitable for short-term trading.
The document provides no backtest, performance figures, or evidence that the rules predict subsequent returns. Its explanation also shifts from a low opening gain to possible downside room, a relationship the conditions do not establish. The exact-price filter is narrow, and the screen omits company fundamentals and news. The examples contain implementation inconsistencies, including a mismatch between the stated opening-time condition and daily data, so they should not be treated as verified implementations. The note itself recommends additional analysis and cautions that a small set of filters can miss risks and opportunities.
Key ideas
- The screen requires amplitude above 1%, a close of 18.5 yuan, and an opening gain below 6%.
- Qualifying stocks are suggested to be ranked by trading value.
- The document offers no performance evidence for the screen.
- Price and volatility filters alone omit company fundamentals, news, and other relevant risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.