A-Share Screening with Amplitude, Price, and Daily Return Filters

Summary

This document presents a rule-based screen for Chinese stocks using three daily conditions: price amplitude above 1, a K-line-related price measure below 20, and daily return between -5% and 2.6%. It includes formula and Python examples for calculating amplitude and close-to-close return, then selecting securities that meet the thresholds. The article argues that restricting returns to a range may help identify candidates with a particular price profile, but it does not define the K-line measure clearly enough to reproduce that condition consistently.

The author notes that technical measures can lag and that market sentiment may dominate them, while fundamental changes are not included. The article suggests combining the screen with more technical and fundamental data and assessing it across different market environments. No backtest, benchmark, trade management rule, or evidence of profitability is reported; the criteria are presented as a selection recipe rather than a validated trading strategy.

Key ideas

• The screen requires amplitude above 1, a K-line-related measure below 20, and a daily return from -5% to 2.6%.
• The examples calculate amplitude and daily return from price data.
• The document does not clearly define the K-line measure, limiting reproducibility.
• The author flags lagging indicators and omitted fundamentals as potential weaknesses.
• No backtest results or evidence of profitability are included.

Tags

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