A-Share Screen Using Ten-Day Returns, Intraday Range, and Lower Lows

Summary

This document presents a short-term A-share screen with three conditions: amplitude above 1, the current low below the previous session’s low, and a ten-day return greater than zero but below 35. The text interprets the range and lower low as signs of elevated volatility and possible rebound potential, while the bounded positive return selects stocks with recent gains. It includes formula references and an example workflow, but reports no backtest, performance statistics, or evidence that the proposed rebound interpretation holds.

The author notes that the screen lacks fundamental measures and relies on a short return window, which may overlook longer-term prospects or stocks whose prices have been pushed up speculatively. Suggested improvements include adding financial and industry data, other indicators such as moving averages or KDJ, and longer moving averages. These additions are presented as possible refinements rather than validated improvements.

Key ideas

• The screen requires amplitude above 1, a current low below the previous low, and a positive ten-day return below 35.
• The document associates the first two conditions with volatility and possible rebound potential.
• It provides no reported backtest or performance evidence for the screen.
• The author warns that short-term price filters can miss fundamentals and speculative price moves.
• Suggested refinements include adding financial data and other technical indicators.

Tags

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