A-share Screen Using Daily Range, the 10-day Average, and Share Float

Summary

This A-share screening idea combines three conditions: daily price amplitude above 1%, an opening price near the 10-day moving average, and tradable share float no greater than 5.5 billion shares. The document interprets the range condition as selecting active stocks, the moving-average condition as keeping entries near a recent price reference, and the float cap as focusing on stocks with a smaller supply of tradable shares. It recommends supplementing these technical and size filters with fundamentals, market sentiment, and other analysis.

The article includes example calculations for amplitude and a band around the moving average, plus a float field that must come from another data source. It supplies no backtest, selection results, benchmark, or evidence that smaller float or proximity to the average improves returns. Smaller floats can also make stocks more sensitive to concentrated buying and selling, while a few filters may omit important risks. The screen is therefore a candidate-generation rule rather than a validated trading strategy.

Key ideas

• The screen requires price amplitude above 1%, an opening price within about 5% of the 10-day average, and float at or below 5.5 billion shares.
• The proposed criteria combine recent volatility, price location, and share supply.
• The article notes that float data may need to come from an external source.
• Small-float stocks can be more vulnerable to large flows, and the filter omits other relevant factors.
• No backtest or performance evidence is given.

Tags

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