A-Share Screen for Volatility, Prior-Day Price Limits, and Trading Activity

Summary

The document describes a stock-selection rule for A-shares using three prior-day conditions: price amplitude above 1%, the stock did not close at the limit-up level, and trading activity exceeded 60 million yuan in value. The proposed rationale is to favor stocks with substantial movement and market attention while avoiding names that were already pinned at the daily upper limit. A Python example is included, but the article provides no equivalent indicator formula.

The author notes that technical activity measures do not reveal business quality or financial strength, and that thresholds may need adjustment across market environments. Fundamental valuation measures and attention to policy or market themes are suggested as additions. There are no backtest results or evidence that the filters predict returns. The sample code also appears to use volume where the written rule specifies traded value, and its price-limit check is not a clear implementation of the stated condition; data fields and thresholds require verification.

Key ideas

• The screen uses prior-day amplitude, limit-up status, and trading activity to select A-shares.
• The stated minimum trading value is 60 million yuan.
• The approach omits fundamentals and may need adaptation to changing market conditions.
• The sample code may confuse volume with traded value and should be checked against the written rules.

Tags

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