A-Share Screen for Volatility, Prior-Day Big Trades, and Uptrends
Summary
This A-share stock-selection method looks for names with daily amplitude above 1, a prior-day appearance on the stock exchange’s notable-trading list with buy amount greater than sell amount, and price above three moving-average-derived channel bands. The article describes amplitude as a volatility filter, the notable-trading data as a sign of net buying, and the channel conditions as a way to identify an advancing trend. It proposes combining these conditions and ranking qualifying stocks by turnover rate, with formulas and Python examples illustrating the process.
The method is a screening rule, not a fully specified portfolio strategy. The text offers no backtest results or evidence that the combination produces returns. It notes that channel judgments can be disrupted by price fluctuations and that results may depend on the chosen time window. It suggests testing different windows and adding technical or fundamental factors, but does not define validation procedures, execution, exits, position sizing, or risk limits. The supplied examples also leave some data and ranking conventions dependent on the platform or source used.
Key ideas
- The screen requires daily amplitude above 1 and a prior-day notable-trading-list entry with buying greater than selling.
- It uses moving-average-derived bands to select stocks trading within a rising channel.
- Qualifying candidates may be ranked by turnover rate.
- The article provides no performance evidence and flags sensitivity to price noise and the time window.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.