A-Share Screen Using Intraday Amplitude and Best-Level Order Volume

Summary

This document describes a stock-selection rule for A-shares using three conditions: price amplitude above 1%, a 2021 date filter, and best bid volume greater than best ask volume. It presents the rule as a way to identify more volatile stocks with potential upward pressure, then shows indicator-formula and Python examples for applying the conditions. The Python example calculates amplitude over a rolling 30-observation window and filters out zero prices before comparing bid and ask volume.

The document offers no backtest, performance figures, or evidence that the conditions predict returns. It warns that the screen omits fundamentals and may be unreliable when order-flow information is asymmetric. The examples also do not fully align: one describes the year as the screening period, while the Python data source and intraday fields may limit what historical data are available. Treat it as a basic screening illustration rather than a validated strategy.

Key ideas

• The screen requires price amplitude above 1%, a 2021 observation, and best bid volume greater than best ask volume.
• The Python example uses a rolling 30-observation high-low range relative to the rolling low as its amplitude measure.
• The author interprets higher volatility as potential opportunity and bid-side volume dominance as a possible bullish clue.
• The document provides no performance evidence and cautions that fundamentals and order-flow uncertainty are omitted.

Tags

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