A-Share Screen for Volatility, Prior Limit-Ups, and the Opening Gap

Summary

This A-share screening proposal selects stocks with daily amplitude above 1%, at least two limit-up sessions in the prior 500 days, and a gain below 6% at 9:25. It treats amplitude and prior limit-ups as signs of volatility and market attention, while the pre-open move is intended as a short-term market condition. The post includes formulas and sample code for calculating these filters.

No backtest results, trade outcomes, or comparison with a benchmark are provided. The author cautions that technical filters can produce inaccurate selections and that the 9:25 quote may be unstable. The formula and code also leave implementation details that require checking, including whether “amplitude above 1” means a percentage threshold and how the pre-open observation is aligned with the prior close. The post suggests adding fundamental measures and other market data, but does not test those extensions.

Key ideas

• The proposed screen requires daily amplitude above 1% and at least two limit-up sessions over 500 days.
• It excludes stocks whose 9:25 gain reaches 6%.
• The post interprets amplitude and historical limit-ups as signals of volatility and market attention.
• The 9:25 price can be unstable, and the method gives no backtest evidence.
• The formulas and code require careful validation of threshold units and timing.

Tags

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