A-Share Screening with Intraday Range, Five-Day Trend, and Auction Turnover

Summary

This A-share screening idea combines a price-range condition, a short-term trend filter, and a measure that relates yesterday’s turnover to today’s auction volume versus yesterday’s volume. It selects stocks whose average price is above the five-day moving average, with the adjusted turnover measure inside a specified band. The accompanying explanation interprets these conditions as seeking active stocks with upward short-term direction and changing trading activity.

The post supplies example indicator and Python implementations, but does not report a backtest, returns, or risk-adjusted results. It flags that short-term signals can lose money during longer declines or sideways markets, and that restrictive filters may produce few candidates. It suggests adding valuation and earnings growth analysis and controlling risk. The proposed fundamental additions are guidance rather than operationally defined rules, so the screen is not a fully specified or validated strategy.

Key ideas

• The screen combines a range threshold with a price-above-five-day-average filter.
• It constrains a product of prior turnover and a relative auction-volume measure to a stated band.
• The rationale is to find active shares with short-term upward momentum.
• The post warns that short-term signals can fail in prolonged declines or sideways markets.
• No performance evidence is provided, and the suggested fundamental filters are not precisely specified.

Tags

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