A-Share Screen Using Range, Relative Volume, and Short-Term Return

Summary

This Chinese-language post outlines an A-share stock screen combining daily price range, relative trading volume, and recent return. It selects stocks with a daily high–low range of at least one percent, volume between 1.5 and 6 times its five-day average, and a ten-day return from zero to 35 percent. The stated rationale is to find stocks with meaningful movement and active, but not extreme, trading while avoiding names that have already risen too sharply over the recent period. A further version proposes including a positive fundamental score.

The post warns that the screen can select financially risky companies and short-term rebounds, and suggests adding longer-horizon returns, growth measures, multiple factors, or historically optimized conditions. It supplies example formulas and a Python-style implementation, but presents no backtest or evidence that the thresholds predict future returns. The example implementation also contains inconsistencies with the written selection logic, so its conditions should be checked before use. The approach is a candidate filter, not a demonstrated trading strategy.

Key ideas

• The screen combines daily range, five-day relative volume, and ten-day price return conditions.
• The stated volume band is intended to capture active trading while excluding unusually high relative volume.
• The post recommends adding longer-term performance and fundamental measures to address gaps in the short-term screen.
• No backtest results are provided to support the chosen thresholds.
• The sample implementation should be checked because some conditions differ from the written rules.

Tags

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