A-Share Screen Using Intraday Range, Recent Strength, and Listing Code

Summary

This proposed A-share stock screen combines four conditions: price amplitude above a threshold, exclusion of ST-designated stocks, selection before 10 a.m., and a code beginning with 60. Its example code calculates amplitude from the day's high and low relative to the previous close, then keeps stocks whose closes remain at or above a five-session moving average across the recent window. The article describes this final condition as a five-part limit-up method, although the supplied calculation is a moving-average persistence filter rather than a direct limit-up test.

The post gives no backtest results or evidence that the screen predicts returns. It cautions that emphasizing short-term volatility and a specific stock-code group can overlook industry and policy conditions, and suggests adding financial and trend analysis. The screening logic is a proposal, not a validated strategy; its timing and price data requirements also need to be defined consistently before evaluation.

Key ideas

• The screen selects non-ST stocks with high amplitude before 10 a.m. and codes beginning with 60.
• Its example uses a five-session moving-average condition as a proxy for recent strength.
• The stated logic does not directly test for limit-up events in the provided calculation.
• The post provides no backtest evidence and flags concentration in short-term volatility and a code group.

Tags

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