A-Share Screen Using Intraday Range, Relative Volume, and a Gap-Up Open

Summary

This short-term A-share screen looks for stocks with an intraday range above 1%, relative volume between 1.5 and 6 times its five-day average, current volume above 10,000 lots, and an open at the session low. The article interprets these filters as seeking price movement, active but not extreme trading, liquidity, and a strong opening pattern. It provides formula and Python examples, but the Python range condition appears reversed relative to the stated rule, and its data handling is not fully explained.

The article warns that gap-up signals can fail, volatile stocks carry elevated risk, and technical filters do not assess company fundamentals. It suggests adding other indicators or external information, without testing those proposals. No backtest, outcome data, entry or exit rules, or position-sizing guidance is included, so the screen should be treated as a candidate filter rather than evidence of a profitable strategy.

Key ideas

• The screen combines an intraday range threshold with relative volume from 1.5 to 6 times its five-day average.
• It also requires current volume above 10,000 lots and an open at the session low.
• The article presents the setup as a short-term momentum filter but gives no performance evidence.
• Gap-up signals can fail, and volatile stocks may carry substantial risk.
• The Python example’s range condition conflicts with the written criterion.

Tags

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