A-Share Screening by Price Range, Exclusion, and Relative Volume

Summary

The document describes a China A-share stock screen combining daily price range, an exclusion for Beijing-listed shares, and relative trading volume. Its stated selection rules use an amplitude threshold and require volume ratio to fall between lower and upper bounds. It also gives example formulas and Python-style pseudocode for applying the filters, with a market-cap ranking to limit the selection to a target number of holdings.

The post warns that yesterday’s movement and historical data may not predict future trends, that regional exclusions can omit opportunities, and that volume ratio alone does not capture all trading conditions. It suggests adding market, company, and real-time information, but does not specify or test those additions. The title and opening phrase differ from the detailed rules: the body uses a higher amplitude and lower volume-ratio threshold than the headline, and the examples contain implementation ambiguities. No performance evidence is provided, so the screen should be treated as an illustrative filter rather than a validated strategy.

Key ideas

• The screen combines price amplitude, a Beijing-share exclusion, and a bounded relative-volume condition.
• The detailed rules and examples use thresholds that differ from the headline.
• The examples show how the filters might be translated into indicator formulas and a data workflow.
• The post identifies limits in relying on yesterday’s price action, region, or volume ratio alone.
• No backtest or performance evidence is reported.

Tags

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