A-Share Screening with Daily Range, Volume Ratio, and 10-Day Average

Summary

This note describes a short-term A-share stock screen using daily price range, relative trading volume, and the opening price’s distance from a 10-day moving average. Its stated conditions select stocks with a range of at least 1%, volume 1.5 to 6 times its five-day average, and an open within about 2% of a Bollinger-based band around the 10-day average. The note presents these as ways to find active, volatile stocks near a recent reference price.

It warns that technical filters can omit company fundamentals and may select financially risky firms. Suggested refinements include adding valuation or other fundamental measures, combining multiple factors, applying trend and stop-loss controls, and considering longer moving averages. The document offers screening formulas and a Python example, but the example’s range comparison uses less than 1% rather than the stated minimum, and its open-price checks use the moving average rather than the described band. It supplies no backtest or evidence of profitability, so the screen’s performance is unverified.

Key ideas

• The screen combines daily price range, relative volume, and opening price near a 10-day reference.
• The stated volume ratio range aims to identify active trading without extreme volume.
• The note cautions that technical filters do not assess financial health or investment quality.
• Its sample Python conditions do not fully match the stated screening logic.

Tags

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