A-Share Screen Using Intraday Range, Price, and Daily Return Filters

Summary

The document describes a simple A-share stock screen using a minimum daily high-low range, a specified closing price, and a bounded daily return. It frames the filters as a way to select for price movement while restricting the current price and recent change. The stated criteria are translated into indicator-style conditions, and a Python example is offered as an implementation reference.

The article warns that the screen omits company fundamentals and may select risky firms; abrupt news or policy events can also distort price-based signals. It suggests combining technical and fundamental measures, volume, and historical trend information, but provides no backtest, performance evidence, or validation of the sample code. The implementation details and prose are not fully consistent with the headline criteria, so readers should verify the exact conditions before relying on it.

Key ideas

• The screen combines a daily price range threshold with a closing-price condition and a bounded daily return.
• The article presents both indicator-style conditions and a Python implementation as references.
• The author notes that the screen omits fundamental and industry information.
• News and policy events can make price moves a poor guide to underlying company conditions.
• The article suggests adding other signals but provides no backtest evidence.

Tags

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