A-Share Screening by Price Range, Amplitude, Volume Ratio, and Listing Age

Summary

This A-share stock screen combines daily price movement, relative trading activity, listing age, and the opening price. It selects stocks whose intraday high-to-low range is at least 1% of the low, whose volume is between 1.5 and 6 times its five-day average, and whose trading history exceeds roughly one year. The final rule also requires the current open to be below the previous close, adding a negative opening gap condition.

The document explains that amplitude aims to find stocks with larger movement, while the bounded volume ratio seeks active but not extreme trading. Excluding newer listings is presented as a stability filter. It offers indicator and Python examples but gives no backtest, returns, or validation of the thresholds. Its own caveats are that age filters can omit promising new firms, market conditions can change the usefulness of the rules, and single-indicator screening calls for additional fundamental or technical checks and position controls.

Key ideas

• The screen requires an intraday range of at least 1% and volume between 1.5 and 6 times its five-day average.
• It filters out newer listings by requiring about one year of trading history.
• The final rule selects stocks opening below the prior session's close.
• The document gives implementation examples but reports no performance test.
• The author recommends combining the screen with other analysis and managing position risk.

Tags

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