A-Share Screening with Intraday Gain, Amplitude, and Rising Averages

Summary

This note describes a short-term A-share stock screen combining price movement, moving averages, and the opening auction. The initial description selects stocks with amplitude above 1, upward-diverging daily averages, and a 9:25 gain below 6%. Its final stated rule tightens the gain ceiling to below 5%, while the sample Python logic uses a 6% cutoff, so the intended threshold is inconsistent. The technical formula and code also express the moving-average condition differently.

The rationale is to favor stocks with active price movement and improving short-term direction while avoiding stocks that have already risen sharply before the open. The note offers no backtest, performance evidence, or precise definition of upward-diverging averages. It flags the screen’s limited attention to fundamentals, longer-term value, and the possibility of rapid gains despite the cap. Suggested refinements include adding company and industry fundamentals, constraining recent gains, and relaxing the amplitude requirement. Treat the rules as an illustrative screen that needs clarification and testing before use.

Key ideas

• The screen combines amplitude above 1 with an upward-moving-average condition and a pre-open gain ceiling.
• The stated gain ceiling differs between the initial rule, final rule, and sample code.
• The note says the screen omits fundamentals and longer-term value considerations.
• It proposes adding fundamental filters and considering recent gains when refining the rules.

Tags

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