A-Share Screening by Price Range, Daily Amplitude, and Opening Gap
Summary
The document describes a simple A-share stock screen using daily amplitude above 1%, a closing price set at 18.5 yuan, and an opening auction change from -2% up to but not including 5%. It presents these conditions as filters for price movement, nominal price, and early-session supply and demand. The accompanying formulas show the intended thresholds, while the sample Python implementation adds data and listing-history filters and uses market data fields to assemble a list of candidates.
No backtest results or performance evidence are provided. The document itself cautions that the screen ignores company fundamentals and that opening prices can be distorted by news or sentiment. Its code also does not clearly implement the stated closing-price condition, so the example should not be assumed to reproduce the prose exactly. The author suggests combining the screen with other technical and fundamental measures and historical trend analysis, but does not specify or evaluate those additions.
Key ideas
- The screen combines daily amplitude above 1% with a stated closing price of 18.5 yuan.
- It requires the opening auction change to fall between -2% and 5%.
- The document frames amplitude and the opening gap as measures of volatility and early-session sentiment.
- It warns that fundamentals and sudden events are omitted and may affect the selected stocks.
- The sample implementation does not clearly match every condition described in the prose.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.