A-Share Screen for Volatility, Volume, a Five-Day Trend, and Gaps

Summary

This proposed A-share screen selects stocks whose intraday range exceeds 1, whose price is above its five-day moving average, whose current volume exceeds 10,000 lots, and whose opening price is above the prior close. The article presents the range and volume requirements as filters for price movement and activity, while the moving-average and opening-gap conditions are intended to favor stocks showing short-term strength. It includes formula examples and a Python sketch for applying the criteria.

The document recommends considering sector context and economic events, and adding profit-taking and stop-loss rules. It warns that the short-term focus may overlook longer-term value, that illiquid markets can raise transaction costs, and that seeking highly volatile stocks can add risk. The code is illustrative and would need adjustment to the data source and units; the article does not report a backtest, transaction-cost analysis, or measured performance. The screen therefore describes a candidate-generation rule rather than a complete, validated trading strategy.

Key ideas

• The screen combines a range threshold, price above the five-day average, current volume above 10,000 lots, and an opening gap above the prior close.
• The rules aim to select active stocks with short-term upward price signals.
• The article advises considering sector and economic context and defining profit-taking and stop-loss rules.
• It highlights risks from short-term focus, poor liquidity, transaction costs, and high volatility.
• The examples are not accompanied by backtest or performance evidence, and implementation may require data adjustments.

Tags

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