A-Share Screening by Intraday Range, Price, and Position Increase

Summary

This document presents a simple A-share screening rule based on price movement and reported trading activity. It selects stocks whose high-low range exceeds 1%, whose closing price is exactly 18.5 yuan, and whose daily position-increase ratio is above 5%. The text describes these conditions as proxies for volatility, a chosen price level, and improving market interest. It includes formula and Python examples, but the Python implementation also applies extra exclusions and checks, so it does not map cleanly to the compact rule.

The author notes that the screen omits company financials and that a fixed share price is a narrow criterion; the position-increase measure may also be subjective. Suggested extensions include valuation and revenue measures, technical indicators, and machine learning. No backtest, performance statistics, or validation is provided. The rule is therefore an illustrative filter rather than evidence of a reliable trading strategy, and its fixed-price condition may sharply constrain the results.

Key ideas

• The stated screen requires a daily high-low range above 1%.\nIt selects stocks closing at exactly 18.5 yuan with a position-increase ratio above 5%.\nThe document interprets range and position increase as rough indicators of volatility and market interest.\nIt warns that the criteria omit fundamentals and depend on narrow or subjective measures.\nNo performance evidence is provided, and the code examples add conditions beyond the stated rule.

Tags

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