A-Share Screening with High Amplitude, Two-Day Highs, and Price Bounds

Summary

This note outlines a short-term A-share screen based on daily amplitude above 1, a high equal to the highest high over two days, and a closing price in an 18–20 yuan band. It suggests that a wide range and a recent high may indicate upward momentum, then proposes adding technical and fundamental filters.

The document gives indicator formulas and illustrative code, but provides no backtest, performance evidence, or validation of the momentum rationale. It also flags that a narrow price range can exclude candidates and that the screen omits company fundamentals and industry context. The proposed additions are unspecified, so the final combined strategy cannot be reproduced as a complete tested rule set from this note alone.

Key ideas

• The screen combines amplitude above 1 with a two-day high and a closing price between 18 and 20 yuan.
• A recent high and larger daily range are presented as possible short-term momentum signals.
• The note recommends adding technical, fundamental, and industry filters.
• No performance evidence is supplied, and the proposed extra filters are not defined.

Tags

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